VaR Stress Tests for Highly Non-Linear Portfolios

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

Research output: Book/ReportReportProfessional

Original languageEnglish
Place of PublicationEindhoven
PublisherEURANDOM
Publication statusPublished - 2002

Publication series

NameResearch Paper
No.2002-019

Cite this

Einmahl, J. H. J., Foppen, W., Laseroms, O., & de Vries, C. G. (2002). VaR Stress Tests for Highly Non-Linear Portfolios. (Research Paper; No. 2002-019). EURANDOM.