Implementing VaR by historical simulation
Aldo Nassigh, Andrea Piazzetta and Ferdinando Samaria
| Year of publication: |
2002
|
|---|---|
| Authors: | Nassigh, Aldo ; Piazzetta, Andrea ; Samaria, Ferdinando |
| Published in: |
New directions in mathematical finance. - Chichester : Wiley, ISBN 0-471-49817-3. - 2002, p. 141-151
|
| Subject: | Simulation | VAR-Modell | VAR model | Risikomaß | Risk measure | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001736570