Evaluating Value at Risk Methodologies: Accuracy versus Computational Time
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Volume (Year): 12 (1997)
Issue (Month): 2 (October)
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References listed on IDEAS
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- Christopher Marshall & Michael Siegel, 1996. "Value at Risk: Implementing a Risk Measurement Standard," Center for Financial Institutions Working Papers 96-47, Wharton School Center for Financial Institutions, University of Pennsylvania.
- William Fallon, 1996. "Calculating Value-at-Risk," Center for Financial Institutions Working Papers 96-49, Wharton School Center for Financial Institutions, University of Pennsylvania.
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