Stress testing for VaR and CVaR
Jitka Dupačová and Jan Polívka
| Year of publication: |
2009
|
|---|---|
| Authors: | Dupačová, Jitka ; Polívka, Jan |
| Published in: |
Quantitative fund management. - Boca Raton, Fla. [u.a.] : CRC Press, ISBN 978-1-4200-8191-6. - 2009, p. 337-357
|
| Subject: | Risikomaß | Risk measure | VAR-Modell | VAR model | Stresstest | Stress test | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003797011