Examination of VaR after long term capital management
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More about this item
Keywords
Hakan Yalincak; Mike Tong; Yu Li; New York University; Value At Risk; Long Term Capital Management; Volatility; Swap Spreads; Convergence Arbitrage;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- A10 - General Economics and Teaching - - General Economics - - - General
- A11 - General Economics and Teaching - - General Economics - - - Role of Economics; Role of Economists
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