Sensitivity analysis of Values at Risk - Archive ouverte HAL Access content directly
Journal Articles Journal of Empirical Finance Year : 2000

Sensitivity analysis of Values at Risk

Domains

Quantitative Finance [q-fin] Statistical Finance [q-fin.ST] Quantitative Finance [q-fin] Risk Management [q-fin.RM]

Jean-Paul LAURENT  : Connect in order to contact the contributor

https://hal-paris1.archives-ouvertes.fr/hal-03676327

Submitted on : Monday, May 23, 2022-6:23:25 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

Consult the full text

Dates and versions

hal-03676327 , version 1 (23-05-2022)

Identifiers

Cite

Christian Gourieroux, Jean-Paul Laurent, Olivier Scaillet. Sensitivity analysis of Values at Risk. Journal of Empirical Finance, 2000, 7 (3-4), pp.225-245. ⟨10.1016/S0927-5398(00)00011-6⟩. ⟨hal-03676327⟩

Export

BibTeX TEI Dublin Core DC Terms EndNote Datacite

Collections

UNIV-PARIS1 X GENES CNRS ENSAE PARISTECH CREST ENSAI X-CREST
17 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More