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Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements Fermanian, Jean-David; Scaillet, Olivier 2005
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Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements Fermanian, Jean-David; Scaillet, Olivier 2003
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On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities Renault, Olivier; Scaillet, Olivier 2003