Work

Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure

Year: 2006

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.935028

Authors: Roberta Fiori, simonetta iannotti

Institution: Bank of Italy

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1591246644

Cites: 158

Cited by: 24

Related to: 10