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Journal of Mathematics and Statistics

ISSN 1549-3644 (print)eISSN 1558-6359 (online) Open access
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Research Article · Open access · Published 16 April 2016

Testing VaR Accuracy for CDS Portfolios Using Historical Simulation and Delta-Normal Models

Viviane Y. Naimy
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  1. doi:10.3390/jrfm12010048Found 12 June 2020