Title of article
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
Author/Authors
Jean-David Fermanian، نويسنده , , Olivier Scaillet، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
32
From page
927
To page
958
Keywords
Netting , collateral , VALUE AT RISK , Expected shortfall , sensitivity , Risk management , Credit risk
Journal title
Journal of Banking and Finance
Serial Year
2005
Journal title
Journal of Banking and Finance
Record number
193717
Link To Document