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Keywords: Principal component analysis
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Journal Articles
Scenario-based measurement of interest rate risks
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Journal:
The Journal of Risk Finance
Journal of Risk Finance (2021) 22 (1): 56–77.
Published: 31 May 2021
.... Design/methodology/approach The authors theoretically derive a scenario-based value-at-risk for interest rate risks based on a principal component analysis. The authors calibrate their approach based on the Nelson–Siegel model, which is modified to account for lower bounds for interest rates...
