"Analytical value-at-risk with jumps and credit risk."

Darrell Duffie, Jun Pan (2001)

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DOI: 10.1007/PL00013531

access: closed

type: Journal Article

metadata version: 2020-07-22

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Darrell Duffie, Jun Pan:
Analytical value-at-risk with jumps and credit risk. Finance Stochastics 5(2): 155-180 (2001)

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