Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
Year of publication: |
2005
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---|---|
Authors: | Fermanian, Jean-David ; Scaillet, Olivier |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 29.2005, 4, p. 927-958
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Publisher: |
Elsevier |
Saved in:
Online Resource
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