Value at risk using principal components analysis: For term structure-dependent securities and FX derivatives

Journal of Portfolio Management

Volumn 24, Issue 1, 1997, Pages 101-112

  Singh, Manoj K ^a  

^a Bear Stearns & Co Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031616866     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1997.409633     Document Type: Article

References (1)

1. Litterman, R., and J. Scheinkman. "Common Factors Affecting Bond Returns." Journal of Fixed Income, 1 (1991), pp. 54-61.