17 citations · 27 across the 5 of their papers we have counts for
1 paper · 1 filter
Cyril Coste, Raphael Douady, Ilija I. Zovko
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR ap…