Scenario analysis for derivative portfolios via dynamic factor models
Martin B. Haugh and Octavio Ruiz Lacedelli
| Year of publication: |
2020
|
|---|---|
| Authors: | Haugh, Martin B. ; Lacedelli, Octavio Ruiz |
| Subject: | Filtering | Multi-factor models | Risk management | Scenario analysis | Szenariotechnik | Portfolio-Management | Portfolio selection | Derivat | Derivative | Risikomanagement | Theorie | Theory | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Prognose | Forecast | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1698757 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194907