Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements

Jean-David Fermanian and Olivier Scaillet

Journal of Banking & Finance, 2005, vol. 29, issue 4, 927-958

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(04)00146-3
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:29:y:2005:i:4:p:927-958

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().