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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 EconWPA

Keywords: RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-06-05
Note: Type of Document - pdf; pages: 12 .
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Handle: RePEc:wpa:wuwpri:0406001