Testing Expected Shortfall Models for Derivative Positions

F.L.J. Kerkhof, Bertrand Melenberg () and Johannes Schumacher
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F.L.J. Kerkhof: Tilburg University, Center For Economic Research

No 2003-24, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: testing; models; distribution; risk management; derivatives (search for similar items in EconPapers)
Date: 2003
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Working Paper: Testing Expected Shortfall Models for Derivative Positions (2003)
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