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Implementing VaR by historical simulation
Nassigh, Aldo
;
Piazzetta, Andrea
;
Samaria, Ferdinando
- In:
New directions in mathematical finance
,
(pp. 141-151)
.
2002
Persistent link: https://www.econbiz.de/10001736570
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The measure of model risk in credit capital requirements
Baviera, Roberto
- In:
Finance research letters
44
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014494868
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A note on CVA and wrong way risk
Baviera, Roberto
;
Bua, Gaetano La
;
Pellicioli, Paolo
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011577115
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