A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
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References listed on IDEAS
- Carol Alexander & Elizabeth Sheedy, 2007. "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-02, Henley Business School, Reading University.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-20 (All new papers)
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