Sensitivity analysis of values at risk

Gourieroux, Christian; Laurent, Jean-Paul; Scaillet, Olivier

doi:10.1016/S0927-5398(00)00011-6

Scientific article

Open access

English

Sensitivity analysis of values at risk

ContributorsGourieroux, Christian; Laurent, Jean-Paul; Scaillet, Olivier

Published inJournal of empirical finance, vol. 7, no. 3, p. 225-245

Publication date2000

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

GOURIEROUX, Christian, LAURENT, Jean-Paul, SCAILLET, Olivier. Sensitivity analysis of values at risk. In: Journal of empirical finance, 2000, vol. 7, n° 3, p. 225–245. doi: 10.1016/S0927-5398(00)00011-6

Article (Published version)

Identifiers

PID : unige:41855
DOI : 10.1016/S0927-5398(00)00011-6

Commercial URLhttp://faculty.washington.edu/ezivot/econ589/SensitivityAnalysisOfVaR.pdf

ISSN of the journal0927-5398

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Sensitivity analysis of values at risk

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