Scenario analysis for derivative portfolios via dynamic factor models
Author:
Affiliation:
1. Imperial College Business School, Imperial College, London, UK
2. Department of IE & OR, Columbia University, New York, NY, USA
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1698757
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1. Robust and Trend-Following Student's t Kalman Smoothers
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4. Credit risk concentrations under stress
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