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24 p, 373.3 KB Variance reduction technique for calculating value at risk in fixed income portfolios / Abad, Pilar ; Benito, Sonia
Financial institutions and regulators increasingly use Value at Risk (VaR) as a standard measure for market risk. Thus, a growing amount of innovative VaR methodologies is being developed by researchers in order to improve the performance of traditional techniques. [...]
2010
SORT : statistics and operations research transactions, Vol. 34, Núm. 1 (January-June 2010) , p. 21-44  
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