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~institution:"Society for Computational Economics - SCE"
~institution:"Suomen Pankki"
~subject:"Expected Shortfall"
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Geary Institute, University College Dublin
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Value-at-Risk
and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
KAMDEM, Jules SADEFO
-
Society for Computational Economics - SCE
-
2004
the expected shortfall and
Value-at-Risk
of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma …
Persistent link: https://www.econbiz.de/10005706570
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