Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

DOI10.1016/J.EJOR.2022.04.044MaRDI QIDQ2079449zbMATH OpenOpenAlexFDO

Authors Philip J. Atkins, Mark Cummins

Publication date 29 September 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.ejor.2022.04.044

zbMATH Keywords

energy marketsmultiple price curve modellingrisk factor proxyingrisk managementtwo-step PCA

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
• A general HJM framework for multiple yield curve modelling
• A Lévy HJM multiple-curve model with application to CVA computation
• A noisy principal component analysis for forward rate curves
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Empirical analysis and forecasting of multiple yield curves
• Interest rate term structure modelling
• Level–Slope–Curvature – Fact or Artefact?
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• Multi-curve HJM modelling for risk management
• Parsimonious HJM modelling for multiple yield curve dynamics
• Prediction of commercial bank failure via multivariate statistical analysis of financial structures: the Turkish case
• Stepwise estimation of common principal components

Cited in

(1)

• Multiple yield curve modeling and forecasting using deep learning

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