Sensitivity of VaR measures to different risk models
By: by F. Drudi, A. Generale and G. Majnoni
Series: Temi di discussione del Servizio studi -- no. 317; Temi di discussione -- 317
Publisher: Banca d'Italia
Published: 1997
Place of publication: Roma
Language: eng
Number of pages: 50
Subjects: Portfolio management; Econometric models; Risk
Notes: "September 1997."

Includes bibliographical references (p. [49]-50).