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- W3123387288 abstract "In this paper, we characterize explicitly the first derivative of the Value at Risk and theExpected Shortfall with respect to portfolio allocation when netting between positions exists.As a particular case, we examine a simple Gaussian example in order to illustrate theimpact of netting agreements in credit risk management. Collateral issues are also dealtwith. For practical purposes we further provide nonparametric estimators for sensitivitiesand derive their asymptotic distributions. An empirical application on a typical bankingportfolio is finally provided." @default.
- W3123387288 created "2021-02-01" @default.
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- W3123387288 date "2003-07-01" @default.
- W3123387288 modified "2023-09-27" @default.
- W3123387288 title "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements" @default.
- W3123387288 hasPublicationYear "2003" @default.
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