Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling (Q2079449)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7594704
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling |
scientific article; zbMATH DE number 7594704 |
Statements
Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling (English)
0 references
29 September 2022
0 references
risk management
0 references
multiple price curve modelling
0 references
two-step PCA
0 references
risk factor proxying
0 references
energy markets
0 references
0 references
0 references
0 references
0 references
0.731451153755188
0 references
0.7218860983848572
0 references
0.6969857811927795
0 references
0.6929885149002075
0 references
