Generating Yield Curve Stress-Scenarios
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- Karimalis, Emmanouil & Kosmidis, Ioannis & Peters, Gareth, 2017. "Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies," Bank of England working papers 655, Bank of England.
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KeywordsIndependant Component Analy- sis; Term structure; Yield curve; IRR; Stress-Testing; Scenario analysis; Principal Component Analysis; Independant Component Analy- sis.;
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