Stress testing for VaR and CVaR
Year of publication: |
2007
|
---|---|
Authors: | Dupacova, Jitka ; PolIvka, Jan |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 7.2007, 4, p. 411-421
|
Publisher: |
Taylor & Francis Journals |
Subject: | Stochastic programming | Risk management | Portfolio optimization | Linear programming | Fixed-income markets | Asset liability modelling | Dynamic models |
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