Principal Component Value at Risk
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Abstract
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DOI: 10.1111/1467-9965.00002
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Citations
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Cited by:
- Jules Sadefo Kamdem, 2005.
"Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
- Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938680, HAL.
- SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, University Library of Munich, Germany.
- Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938594, HAL.
- Sadefo Kamdem, J. & Genz, A., 2008.
"Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
- Jules Sadefo Kamdem & Alan Genz, 2003. "Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options," Papers math/0309276, arXiv.org.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938642, HAL.
- J. Sadefo Kamdem & A. Genz, 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Post-Print hal-02938579, HAL.
- Brummelhuis, Raymond & Luo, Zhongmin, 2017.
"CDS Rate Construction Methods by Machine Learning Techniques,"
MPRA Paper
79194, University Library of Munich, Germany.
- Raymond Brummelhuis & Zhongmin Luo, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," Papers 1705.06899, arXiv.org.
- Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.
- Charles Lee & Kristy Tran, 2010. "Adaptive algorithms for maximizing overall stock return," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 81-95, November.
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