Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
Year of publication: |
2003-07
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Authors: | FERMANIAN, Jean-David ; SCAILLET, Olivier |
Institutions: | Swiss Finance Institute |
Subject: | Value at Risk | Expected Shortfall | Sensitivity | Risk Management | Credit Risk | Netting |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages ; G22 - Insurance; Insurance Companies |
Source: |
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Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements
Fermanian, Jean-David, (2003)
-
Nonparametric Estimation of Copulas for Time Series
FERMANIAN, Jean-David, (2003)
-
Nonparametric Estimation of Conditional Expected Shortfall
SCAILLET, Olivier, (2004)
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SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
FERMANIAN, Jean-David, (2004)
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Nonparametric Estimation of Copulas for Time Series
FERMANIAN, Jean-David, (2003)
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Mortality Risk and Real Optimal Asset Allocation for Pension Funds
Menoncin, Francesco, (2003)
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