VaR stress tests for highly non-linear portfolios
Year of publication: |
2005
|
---|---|
Authors: | Einmahl, John H.J. ; Foppen, Walter N. ; Laseroms, Olivier W. ; Vries, Casper G. de |
Published in: |
Journal of Risk Finance. - Emerald Group Publishing. - Vol. 6.2005, November, 5, p. 382-387
|
Publisher: |
Emerald Group Publishing |
Subject: | Portfolio investment | Return on capital employed | Statistics |
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