Testing Expected Shortfall Models for Derivative Positions

F.L.J. Kerkhof, B. Melenberg and Johannes Schumacher
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F.L.J. Kerkhof: Tilburg University, School of Economics and Management
B. Melenberg: Tilburg University, School of Economics and Management

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Date: 2003
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Working Paper: Testing Expected Shortfall Models for Derivative Positions (2003)
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