Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

DOI10.1016/j.ejor.2022.04.044OpenAlexW4229043285MaRDI QIDQ2079449

Mark Cummins, Philip J. Atkins

Publication date: 29 September 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.04.044

zbMATH Keywords

risk managementenergy marketsmultiple price curve modellingrisk factor proxyingtwo-step PCA

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• A general HJM framework for multiple yield curve modelling
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• Prediction of commercial bank failure via multivariate statistical analysis of financial structures: the Turkish case
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• Interest rate term structure modelling
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• Parsimonious HJM modelling for multiple yield curve dynamics
• MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Multi-curve HJM modelling for risk management
• A Lévy HJM multiple-curve model with application to CVA computation
• Level–Slope–Curvature – Fact or Artefact?

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