Scenario analysis for derivative portfolios via dynamic factor models

DOI10.1080/14697688.2019.1698757zbMath1466.91288OpenAlexW3003545514MaRDI QIDQ4991043

Octavio Ruiz Lacedelli, Martin B. Haugh

Publication date: 2 June 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1698757

zbMATH Keywords

filteringrisk managementmulti-factor modelsscenario analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Uses Software

• astsa
• QRM

Cites Work

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