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.
Einmahl, J.H.J. ; Foppen, W. ; Laseroms, O. ; de Vries, C.G. / VaR stress for highly non-linear portfolios. In: Journal of Risk Finance. 2005 ; Vol. 6, No. 5. pp. 382-387.
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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.",
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Einmahl, JHJ, Foppen, W, Laseroms, O & de Vries, CG 2005, 'VaR stress for highly non-linear portfolios', Journal of Risk Finance, vol. 6, no. 5, pp. 382-387.

VaR stress for highly non-linear portfolios. / Einmahl, J.H.J.; Foppen, W.; Laseroms, O.; de Vries, C.G.

In: Journal of Risk Finance, Vol. 6, No. 5, 2005, p. 382-387.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - VaR stress for highly non-linear portfolios

AU - Einmahl, J.H.J.

AU - Foppen, W.

AU - Laseroms, O.

AU - de Vries, C.G.

PY - 2005

Y1 - 2005

M3 - Article

VL - 6

SP - 382

EP - 387

JO - Journal of Risk Finance

JF - Journal of Risk Finance

SN - 1526-5943

IS - 5

ER -

Einmahl JHJ, Foppen W, Laseroms O, de Vries CG. VaR stress for highly non-linear portfolios. Journal of Risk Finance. 2005;6(5):382-387.