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Sensitivity analysis of Values at Risk

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Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Monday, May 23, 2022 - 6:23:25 PM
Last modification on : Wednesday, June 15, 2022 - 3:26:50 AM

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

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