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A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter; Bloxham, Nicholas - In: The journal of risk model validation 12 (2018) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
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Incremental value-at-risk
Mitic, Peter; Cooper, James; Bloxham, Nicholas - In: The journal of risk model validation 14 (2020) 1, pp. 65-101
Persistent link: https://www.econbiz.de/10014335925