VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors
| Year of publication: |
2004-06-05
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|---|---|
| Authors: | Jules, SADEFO KAMDEM |
| Institutions: | EconWPA |
| Subject: | RiskMetrics Delta-Normal VaR | Delta-GLD-VaR | Delta-MGLD | Delta-GLD ES | Hedge Funds Risk |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Type of Document - pdf; pages: 12 . 12 pages |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005561057