Efficient VaR and Expected Shortfall computations for...

Applied Mathematics and Computation 2014 / 10 Vol. 244

Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach

Ortiz-Gracia, Luis, Oosterlee, Cornelis W.
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Volume:
244
Language:
english
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2014.06.110
Date:
October, 2014
File:
PDF, 781 KB
english, 2014
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