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Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
Barone Adesi, Giovanni, Giannopoulos, Kostas, Vosper, LesYear:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2588573
File:
PDF, 406 KB
english, 2015