Hamidi, Benjamin; Maillet, Bertrand B.; Prigent, Jean-Luc - 2009
Controlling and managing potential losses is one of the main objective of the Risk Management. Following Ben Ameur and … Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management … depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from …
