Immunization Using Principal Component Analysis
Author:
Publisher
Pageant Media US
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Cited by 32 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling;European Journal of Operational Research;2023-02
2. Duration gap with multiple liabilities for nonparallel shifts;European Actuarial Journal;2022-09-29
3. Improving Interest Rate Risk Hedging Strategies through Regularization;Financial Analysts Journal;2022-08-18
4. INVESTMENT CHARACTERISTICS OF INDONESIAN GOVERNMENT BOND MARKET DURING THE COVID-19 PANDEMIC;12th International Scientific Conference “Business and Management 2022”;2022-05-12
5. Sensitivity-Based Bond Portfolio Immunization with Nonparametric Term Structure Models;SSRN Electronic Journal;2022
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