Developing a stress testing framework based on market risk models

Author:

Alexander Carol,Sheedy Elizabeth

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference53 articles.

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2. Liquidity adjusted value-at-risk based on the components of the bid–ask spread;Angelidis;Applied Financial Economics,2006

3. Aragones, J., Blanco, C., Dowd, K., 2001. Incorporating stress tests into market risk modeling. Derivatives Quarterly. Spring 2001, 44–49.

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