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Scenario analysis for derivative portfolios via dynamic factor models |
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| Authors: | Martin B Haugh Octavio Ruiz Lacedelli |
| Institution: | 1. Imperial College Business School, Imperial College, London, UKmartin.b.haugh@gmail.com![ORCID Icon]({"type":"image","src":"/templates/jsp/images/orcid.png"} "ORCID Icon") https://orcid.org/0000-0002-0823-1044;3. Department of IE &4. OR, Columbia University, New York, NY, USA |
| Abstract: | |
| Keywords: | Risk management Filtering Scenario analysis Multi-factor models |