VaR stress for highly non-linear portfolios

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

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@article{5181b8777819433097d6085ebf977492,

title = "VaR stress for highly non-linear portfolios",

author = "J.H.J. Einmahl and W. Foppen and O. Laseroms and {de Vries}, C.G.",

year = "2005",

language = "English",

volume = "6",

pages = "382--387",

journal = "Journal of Risk Finance",

issn = "1526-5943",

publisher = "Emerald Group Publishing Ltd.",

number = "5",

}