On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
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References listed on IDEAS
- Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2014-07-13 (Risk Management)
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