Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

By Jean-David Fermanian, Olivier Scaillet. 2003

56 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4853cff169097753acf7835b1bafca4fa09f2784

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1. Ivana Komunjer
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Citations in the corpus

• Asymmetric power distribution: Theory and applications to risk measurement (2007, background): “…work offers a variety of approaches to the expected shortfall estimation, ranging from fully parametric (see Aas and Haff, 2006), to semi-parametric (see McNeil and Frey, 2000; Bassett et al., 2004), and nonparametric (see Scaillet, 2004; Chen, 2005; Fermanian and Scaillet, 2005; Scaillet, 2005).”