Stress testing for VaR and CVaR

Quantitative Finance

Volumn 7, Issue 4, 2007, Pages 411-421

  Dupacová, Jitka ^a   Polívka, Jan ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Asset liability modelling; Dynamic models; Fixed income markets; Linear programming; Portfolio optimization; Risk management; Stochastic programming

Indexed keywords

EID: 34548306536     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600973323     Document Type: Article

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