The Riskmetrics 2006 Methodology
Author:
- Gilles O. ZumbachGZGilles O. Zumbach
Preprint
- 1 January 2007
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The new RM2006 methodology to evaluate market risks is introduced. It is designed to be more accurate than the existing methodologies, and to be able to reach lKeywords
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