Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
Journal Article
(2014)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/10.1016/j.amc.2014.06.110
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https://resolver.tudelft.nl/uuid:d3449f25-5642-4cdc-93b3-c716932b71bb
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Publication Year
2014
Language
English
Research Group
Numerical Analysis
Volume number
244
Pages (from-to)
16-31
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