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Non-Gaussianity

Principal component Value-at-Risk

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Journal of Mathematical Finance (2001), Vol 12 (1), 23-43.
Market Risk

Principal component Value-at-Risk

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International Journal of Theoretical and Applied Finance, Vol 3, number 3 (2000), pp 541-545
Market Risk

Harmonic Analysis in Value at Risk Calculations

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Market Risk

Modelling and Estimation of Financial Time Series

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Technical Report, 2000
Market Risk

Extreme Value Theory techniques for scenario generation

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Technical Report. 2000
Market Risk

Gaussian Processes for Financial Time Series, a C++ Implementation

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Technical Report, 1999
Market Risk

Asymptotic Expansion for Value at Risk

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Master's thesis 1998. Department of Mathematics. University of Toronto
Market Risk
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