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Keywords: Sensitivities-based method
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Journal Articles
Journal of Economics, Finance and Administrative Science (2023) 28 (55): 96–115.
Published: 27 April 2023
... first suggests an algorithm for implementing the FRTB standardised approach via the sensitivities-based method to estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the expected shortfall in options portfolios...
