VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors
KAMDEM Jules Sadefo
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KAMDEM Jules Sadefo: Université de Reims
Risk and Insurance from University Library of Munich, Germany
Keywords: RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0406001
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