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. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 29.2005, 4, p. 927-958
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