VaR stress for highly non-linear portfolios

J.H.J. Einmahl, W. Foppen, O. Laseroms, C.G. de Vries

Research output: Contribution to journalArticleScientificpeer-review

235 Downloads (Pure)
Original languageEnglish
Pages (from-to)382-387
JournalJournal of Risk Finance
Volume6
Issue number5
Publication statusPublished - 2005

Cite this

Einmahl, J. H. J., Foppen, W., Laseroms, O., & de Vries, C. G. (2005). VaR stress for highly non-linear portfolios. Journal of Risk Finance, 6(5), 382-387.