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Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard. Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR. Annals OR, 281(1-2):423-453, 2019. [doi]

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