VaR for nonlinear financial instruments - linear approximation or full Monte Carlo?

Journal
Financial Markets and Portfolio Management
ISSN
1555-4961
ISSN-Digital
1555-497X
Type
journal article
Date Issued
2001-09-01
Author(s)
Reich, Christian
DOI
Abstract
[http://www.manuel-ammann.com/pdf/PubsAmmann2001VaRFMPM.pdf]
Language
English
HSG Classification
not classified
Refereed
Yes
Publisher
Springer
Publisher place
Heidelberg
Volume
15
Number
3
Start page
363
End page
378
Pages
16
URL
Subject(s)

other research area

Division(s)

SoF - School of Finan...

Eprints ID
12592
File(s)
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open.access

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PubsAmmann2001VaRFMPM.pdf

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579.63 KB

Format

Adobe PDF

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