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Principal Component Value at Risk - MaRDI portal

Principal Component Value at Risk (Q4548068)

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scientific article; zbMATH DE number 1786777
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English
Principal Component Value at Risk
scientific article; zbMATH DE number 1786777

    Statements

    title
    Principal Component Value at Risk (English)
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    author
    Antonio Córdoba
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    Maite Quintanilla
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    R. G. M. Brummelhuis
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    Luis A. Seco
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    publication date
    19 September 2002
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    zbMATH Keywords
    value at risk
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    principal component
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    risk management
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    financial risk
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    risk metrics
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    Identifiers

    zbMATH DE Number
    1786777
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    OpenAlex ID
    W3121802440
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