PRINCIPAL COMPONENT VALUE AT RISK

DOI10.1142/S0219024900000528MaRDI QIDQ4522656zbMATH OpenFDO

Authors Antonio Córdoba, Maite Quintanilla, R. G. M. Brummelhuis, L. Seco

Publication date 17 April 2001

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfoliovalue-at-risk

Mathematics Subject Classification ID

Recommendations

• Portfolio value at risk based on independent component analysis
• Value at risk estimation
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• Value–at–Risk Models
• Bivariate value-at-risk
• Vector-valued multivariate conditional value-at-risk
• A directional multivariate value at risk
• Value-at-risk in uncertain random risk analysis

Cited in

(1)

• Principal Component Value at Risk

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