VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors

Jules SADEFO KAMDEM ()

Annals of Finance, 2012, vol. 8, issue 1, pages 123-150

Keywords: Capital allocation; Dynamic volatility; Risk management; Price risk in agriculture; Expected Shortfall; G11; G17; G32; C1; C6 (search for similar items in EconPapers)
Date: 2012
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