Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach

L Ortiz-Gracia, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

15 Citations (Scopus)
Original languageEnglish
Pages (from-to)16-31
Number of pages16
JournalApplied Mathematics and Computation
Volume244
DOIs
Publication statusPublished - 2014

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