Principal Component Value at Risk

DOI10.1111/1467-9965.00002MaRDI QIDQ4548068zbMATH OpenOpenAlexFDO

Authors Antonio Córdoba, Maite Quintanilla, R. G. M. Brummelhuis, L. 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 riskprincipal componentrisk managementrisk metricsvalue at risk

Mathematics Subject Classification ID

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Cites work

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

Cited in

(10)

• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• Portfolio value at risk based on independent component analysis
• scientific article; zbMATH DE number 1642361 (Why is no real title available?)
• Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
• Calculation of the value at risk of the term structure of bond interest rates in Shanghai securities exchange
• scientific article; zbMATH DE number 2177302 (Why is no real title available?)
• Algorithmic Applications in Management
• Adaptive algorithms for maximizing overall stock return
• A matrix-based VaR model for risk identification in power supply networks
• On the appropriateness of inappropriate VaR models

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