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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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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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