Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure
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References listed on IDEAS
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- Esposito, Lucia & Nobili, Andrea & Ropele, Tiziano, 2015.
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More about this item
KeywordsInterest rate risk; VAR; PCA; Non-normality; Non parametric methods;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-07 (All new papers)
- NEP-BAN-2006-10-07 (Banking)
- NEP-ECM-2006-10-07 (Econometrics)
- NEP-FIN-2006-10-07 (Finance)
- NEP-FMK-2006-10-07 (Financial Markets)
- NEP-RMG-2006-10-07 (Risk Management)
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