Research Catalog

Sensitivity of VaR measures to different risk models / by F. Drudi, A. Generale and G. Majnoni.

Title
Sensitivity of VaR measures to different risk models / by F. Drudi, A. Generale and G. Majnoni.
Author
Drudi, Francesco.
Publication
Roma : Banca d'Italia, 1997.

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TextUse in library HG4515.2 .D78 1997xOff-site

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Details

Additional Authors
  • Banca d'Italia. Servizio studi.
  • Generale, Andrea.
  • Majnoni, Giovanni.
Description
50 p. : ill.; 30 cm.
Series Statement
Temi di discussione del Servizio studi ; no. 317
Uniform Title
Temi di discussione ; 317.
Subject
  • Portfolio management > Econometric models
  • Risk > Econometric models
Note
  • "September 1997."
Bibliography (note)
  • Includes bibliographical references (p. [49]-50).
Processing Action (note)
  • committed to retain
Owning Institutions
Harvard Library