Sensitivity analysis of Values at Risk

Christian Gourieroux; Jean-Paul Laurent; Olivier Scaillet

doi:10.1016/S0927-5398(00)00011-6

Journal articles

Sensitivity analysis of Values at Risk

Christian Gourieroux ¹ Jean-Paul Laurent ^{1, 2} Olivier Scaillet ³

1 CREST - Centre de Recherche en Économie et Statistique

2 ISFA - Institut de Science Financière et d'Assurances

3 UCL - Université Catholique de Louvain = Catholic University of Louvain

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin] / Statistical Finance [q-fin.ST]

Quantitative Finance [q-fin] / Risk Management [q-fin.RM]

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https://hal-paris1.archives-ouvertes.fr/hal-03676327
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Monday, May 23, 2022 - 6:23:25 PM
Last modification on : Friday, August 5, 2022 - 2:49:41 PM

Sensitivity analysis of Values at Risk

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Sensitivity analysis of Values at Risk

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