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Value at Risk (Gourieroux/Jasiak)
Year Of Publication: 2002
Month Of Publication: December
Pages: 68
Download Count: 1134
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-29-2006
Publisher: Administrator
Summary
We study risk on a portfolio of liquid assets to which we next add the derivatives, and conclude with a discussion on credit risk. In each section we present the methods of VaR computation that exist in the literature and point out their advantages and limitations. (prepared for Handbook of Financial Econometrics)
Author(s)
Gourieroux, Christian Sign in to follow this author
Jasiak, Joann Sign in to follow this author
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