Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options
| Autor: | Ruoshi Shi, Yanlong Zhao, Ying Bao, Cheng Peng |
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| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | The North American Journal of Economics and Finance. 62:101781 |
| ISSN: | 1062-9408 |
| DOI: | 10.1016/j.najef.2022.101781 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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