مرکز منطقه ای اطلاع رساني علوم و فناوري - Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements

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 :

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 :