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N°15-12: Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund, G. Barone-Adesi, K. Giannopoulos, and L. Vosper, 2015.

N°15-12: Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund, G. Barone-Adesi, K. Giannopoulos, and L. Vosper, 2015.

AuthorG. Barone-Adesi, K. Giannopoulos, and L. Vosper
Date7 fév. 2015
CatégorieWorking Papers
Linkhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2588573

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