Comparing simulation models for market risk stress testing
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
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More about this item
KeywordsRisk management Volatility updation Tail diversification Simulation models Fat-tailed distributions;
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