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VaR stress tests for highly non‐linear portfolios

✍ Scribed by Einmahl, John H.J.; Foppen, Walter N.; Laseroms, Olivier W.; de Vries, Casper G.

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Accounting for risk of non linear portfo

✍ G. Bormetti; V. Cazzola; D. Delpini; G. Livan 📂 Article 📅 2010 🏛 Springer 🌐 English ⚖ 588 KB

Stress testing for VaR and CVaR

✍ Dupačová, Jitka; PolÍvka, Jan 📂 Article 📅 2007 🏛 Taylor and Francis Group 🌐 English ⚖ 223 KB

VaR and ES for linear portfolios with mi

✍ Jules Sadefo Kamdem 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 266 KB

Loss coverage and stress testing mortgag

✍ Adolfo Rodriguez; Carlos Trucharte 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 302 KB

VaR and ES for linear portfolios with mi

✍ Jules Sadefo Kamdem 📂 Article 📅 2009 🏛 Springer 🌐 English ⚖ 379 KB

Stress testing using VaR approach—a case

✍ Kok-Hui Tan; Inn-Leng Chan 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 294 KB