Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
ContributorsFermanian, Jean-David; Scaillet, Olivier
Collection
- Cahiers de recherche; 2003.18
Publication date2003
Abstract
Keywords
- Value at Risk
- Expected Shortfall
- Sensitivity
- Risk Management
- Credit Risk
- Netting
Classification
- JEL : C14, D81, G10, G21, G22
Affiliation entities
Citation (ISO format)
FERMANIAN, Jean-David, SCAILLET, Olivier. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements. 2003
Main files (1)
Report
Identifiers
- PID : unige:5790