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Stress Testing in a Value at Risk Framework

1998161 citationsJournal Article

Authors

Paul Kupiec · Freddie Mac (United States)

Topics & Keywords

Probabilistic and Robust Engineering Design

UN Sustainable Development Goals

Climate action

Publication Details

Published in: The Journal of Derivatives

Volume 6, Issue 1, pp. 7-24

DOI: 10.3905/jod.1998.408008

Field-Weighted Citation Impact: 7.13

Stress Testing in a Value at Risk Framework | Researchclopedia