"VaR stress test for highly non-linear portfolios"

Casper de Vries, JHJ Einmahl, WN Foppen, OW Laseroms

Research output: Contribution to journal › Article › Academic

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@article{e7e1c3d25cb8475185c3f1fb65dd5fd5,

title = "{"}VaR stress test for highly non-linear portfolios{"}",

author = "{de Vries}, Casper and JHJ Einmahl and WN Foppen and OW Laseroms",

year = "2005",

language = "Undefined/Unknown",

volume = "6",

pages = "382--387",

journal = "The Journal of Risk",

issn = "1465-1211",

publisher = "Incisive Media Ltd.",

}