Scenario analysis for derivative portfolios via dynamic factor models
Year of publication: |
2020
|
---|---|
Authors: | Haugh, Martin B. ; Lacedelli, Octavio Ruiz |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 4, p. 547-571
|
Subject: | Filtering | Multi-factor models | Risk management | Scenario analysis | Szenariotechnik | Risikomanagement | Portfolio-Management | Portfolio selection | Derivat | Derivative | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Theorie | Theory |
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