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Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models

https://doi.org/10.2139/ssrn.3424127
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Credit risk concentrations under stress
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The Black-Litterman Approach: Original Model and Extensions
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Consistency of Risk Measure Estimates
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Backtesting Value-at-Risk: A Duration-Based Approach
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Asset Allocation
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Forecasting the Term Structure of Government Bond Yields
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