Martin Sprenger

Deutsche Bundesbank, Hauptverwaltung in Hessen

Taunusanlage 5

Frankfurt/Main, 60329

Germany

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Alternatives to Log-Normal and Normal Models in Market Risk: The Displaced Historical Simulation and the Mixed Model

Number of pages: 14 Posted: 16 Oct 2020

Christian Böinghoff and Martin Sprenger

Deutsche Bundesbank and Deutsche Bundesbank, Hauptverwaltung in Hessen

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