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On the way to recovery : a nonparametric bias free estimation of recovery rate densities
Renault, Olivier; Scaillet, Olivier - In: Journal of banking & finance 28 (2004) 12, pp. 2915-2931
Persistent link: https://www.econbiz.de/10002410710
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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
Cover Image
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/10005879004
Cover Image
On the way to recovery: A nonparametric bias free estimation of recovery rate densities
Renault, Olivier; Scaillet, Olivier - In: Journal of banking & finance 28 (2004) 12, pp. 2915-2932
Persistent link: https://www.econbiz.de/10005882384