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Publications by JULES SADEFO KAMDEM

Value-At-Risk and Expected Shortfall for Linear Portfolios With Elliptically Distributed Risk Factors

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2005English

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A Fast, Accurate Method for Value at Risk and Expected Shortfall

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Analytical Value-At-Risk and Expected Shortfall Under Regime-Switching

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On Exactitude in Financial Regulation: Value-At-Risk, Expected Shortfall, and Expectiles

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Testes Para Avaliação Das Previsões De Value-At-Risk E Expected Shortfall

Brazilian Review of Finance
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Value at Risk Models for Dutch Bond Portfolios

Journal of Banking and Finance
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2000English

Efficient VAR and Expected Shortfall Computations for Non-Linear Portfolios Within the Delta-Gamma Approach

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Bootstrapping the Expected Shortfall

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Time Series Modeling for Risk of Stock Price With Value at Risk Computation

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Incorporating Event Risk Into Value-At-Risk

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2001English

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