Value at Risk and Expected Shortfall based on...

Journal of Banking & Finance 2018 / 6

Value at Risk and Expected Shortfall based on Gram-Charlier-like expansions.

Zoia, Maria Grazia, Biffi, Paola, Nicolussi, Federica
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Language:
english
Journal:
Journal of Banking & Finance
DOI:
10.1016/j.jbankfin.2018.06.001
Date:
June, 2018
File:
PDF, 878 KB
english, 2018
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