Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling (Q2079449)
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scientific article; zbMATH DE number 7594704
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling |
scientific article; zbMATH DE number 7594704 |
Statements
Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling (English)
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29 September 2022
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risk management
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multiple price curve modelling
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two-step PCA
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risk factor proxying
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energy markets
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