Estimating the joint tail risk under the filtered historical simulation: An application to the CCP’s default and waterfall fund

  • Giovanni Barone-Adesi, Kostas Giannopoulos, Les Vosper
  • European Journal of Finance, April 2017, Taylor & Francis
  • DOI: 10.1080/1351847x.2017.1308876

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http://dx.doi.org/10.1080/1351847x.2017.1308876