Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
10.1007/s10589-008-9231-4
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Conference or Workshop Item |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://scholarbank.nus.edu.sg/handle/10635/104553 |
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| Institution: | National University of Singapore |