Non-parametic liquidity-adjusted VaR model : a stochastic programming approach
Emmanuel Fragnière; Jacek Gondzio; Nils S. Tuchschmid; Qun Zhang
| Year of publication: |
2010
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|---|---|
| Authors: | Fragnière, Emmanuel ; Gondzio, Jacek ; Tuchschmid, Nils S. ; Zhang, Qun |
| Published in: |
Journal / The Capco Institute : journal of financial transformation. - Antwerp, ZDB-ID 21368132. - Vol. 28.2010, p. 109-116
|
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10009895908