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Factor-augmented regressions and their applications to financial markets : a selective review

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Multi-population modelling and forecasting life-table death counts

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Optimization for L1-norm error fitting via data aggregation

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Empirical evidence of joint nonlinearity in economic area and US economic variables using two modified multivariate nonlinearity tests

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Computing MVA via Regression and Principal Component Analysis

Kappen, Christian - 2017

MVA is today's price of the future costs generated by future initial margin postings. Computing MVA requires long-term risk neutral simulations of future initial margin amounts. The ISDA SIMM computes initial margin based on the portfolio's sensitivity with respect to a high-dimensional vector...

Persistent link: https://www.econbiz.de/10012952215