... for left-tail risk. Therefore, we conduct a principal component analysis with various left-tail risk measures and use the first principal component (PC1) as a representative proxy. We sort stocks into quintile portfolios each month based on the magnitude of PC1 and then explore their returns...

... by the RN variance of the S&P 500 index and RN higher moments of the KOSPI 200 index. In contrast, the S&P 500 local factor is influenced by the RN variance of the S&P 500 index and the KOSPI 200 local factor is explained by the RN higher moment of the KOSPI 200 index. Principal Component...

...Hosam Ki; Junhwa Ban In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is achieved by means of Gauss-Hermite Integrations, applied to the principal component analysis...