VaR stress tests for highly non-linear portfolios

Author： H.J. Einmahl John   N. Foppen Walter   W. Laseroms Olivier   G. de Vries Casper  

Publisher： Emerald Group Publishing Ltd

ISSN： 1526-5943

Source： The Journal of Risk Finance Incorporating Balance Sheet, Vol.6, Iss.5, 2005-01, pp. : 382-387

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Stress testing for VaR and CVaR

By Dupacová Jitka   PolÍvka Jan  

Quantitative Finance, Vol. 7, Iss. 4, 2007-08 ,pp. : 411-421

Routledge Ltd

Access to resources Recommend Favorite

VaR and expected shortfall: a non-normal regime switching framework

By Elliott Robert   Miao Hong  

Quantitative Finance, Vol. 9, Iss. 6, 2009-09 ,pp. : 747-755

Routledge Ltd

Access to resources Recommend Favorite

Combining non-constant weights with historical simulation VaR

By Rebonato Riccardo   Shanbhogue Vasant  

Journal of Risk Management in Financial Institutions, Vol. 3, Iss. 4, 2010-01 ,pp. : 392-404

Henry Stewart Publications

Access to resources Recommend Favorite

MaxVaR for non-normal and heteroskedastic returns

By Bhattacharyya Malay   Misra Nityanand   Kodase Bharat  

Quantitative Finance, Vol. 9, Iss. 8, 2009-12 ,pp. : 925-935

Routledge Ltd

Access to resources Recommend Favorite

Credit BuVaR: Asymmetric spread VaR with default

By Wong Max  

Journal of Risk Management in Financial Institutions, Vol. 5, Iss. 1, 2011-12 ,pp. : 86-95

Henry Stewart Publications

Access to resources Recommend Favorite