Principal Component Value at Risk

DOI10.1111/1467-9965.00002zbMath1014.91048OpenAlexW3121802440MaRDI QIDQ4548068

Maite Quintanilla, Antonio Córdoba, R. G. M. Brummelhuis, Luis A. Seco

Publication date: 19 September 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00002

zbMATH Keywords

financial riskrisk managementvalue at riskprincipal componentrisk metrics

Mathematics Subject Classification ID

Related Items (2)

Adaptive algorithms for maximizing overall stock return ⋮ Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

Cites Work

• Analytical value-at-risk with jumps and credit risk
• Harmonic analysis in value at risk calculations.

This page was built for publication: Principal Component Value at Risk