Conditional VaR using EVT – Towards a planned margin scheme

Conditional VaR using EVT – Towards a planned margin scheme

Malay Bhattacharyya, Gopal Ritolia
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Volume:
17
Year:
2008
Language:
english
DOI:
10.1016/j.irfa.2006.08.004
File:
PDF, 407 KB
english, 2008
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