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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10002634905
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A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
Denuit, Michel (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003074160
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Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460