//-->
A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification
Degiannakis, Stavros, (2014)
Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa, (2014)
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol, (2020)
Application de la statistique des diffusions à un modèle de taux d'intérêt
Fournié, Éric, (1991)
Quantiles of the Euler scheme for diffusion processes and financial applications
Talay, Denis, (2003)
Modeling the term structure of interest rates : a review of the literature
Gibson, Rajna, (1998)