Generating Yield Curve Stress-Scenarios
Year of publication: |
2010-12-28
|
---|---|
Authors: | Charpentier, Arthur ; Villa, Christophe |
Institutions: | HAL |
Subject: | Term structure | Yield curve | IRR | Stress-Testing | Scenario analysis | Principal Component Analysis | Independant Component Analy- sis |
-
Karimalis, Emmanouil, (2017)
-
On dynamic forward rate modeling and principal component analysis
Bermin, Hans-Peter, (2014)
-
Principal component analysis of yield curve movements
Barber, Joel, (2012)
- More ...
-
Category-based Tail Comovement
Charpentier, Arthur, (2009)
-
Natural catastrophe insurance: How should the government intervene?
Charpentier, Arthur, (2014)
-
On the return period of the 2003 heat wave
Charpentier, Arthur, (2010)
- More ...