Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10005823128
Persistent link: https://www.econbiz.de/10005823171
Persistent link: https://www.econbiz.de/10005566922
Persistent link: https://www.econbiz.de/10005350645
Persistent link: https://www.econbiz.de/10005350663
Persistent link: https://www.econbiz.de/10005350667
In this paper, we characterize explicitly the first derivative of the Value at Risk and theExpected Shortfall with respect to portfolio allocation when netting between positions exists.As a particular case, we examine a simple Gaussian example in order to illustrate theimpact of netting...
Persistent link: https://www.econbiz.de/10005350684
Persistent link: https://www.econbiz.de/10005350707
Persistent link: https://www.econbiz.de/10005571961
Persistent link: https://www.econbiz.de/10005703984