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VAR : History or Simulation?
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Risk : managing risk in the world's financial markets
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ECONIS (ZBW)
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Market risk VAR: history or simulation? The authors assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond mar...
Lambadiaris, Greg
;
Papadopoulou, Loulza
;
Skiadopoulos, …
- In:
Risk : managing risk in the world's financial markets
16
(
2003
)
9
,
pp. 123-126
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