Work

Principal Components as a Measure of Systemic Risk

Year: 2012

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1633027

Authors: Mark Kritzman, Yuanzhen Li, Sebastien Page, Roberto Rigobon

Institutions: Massachusetts Institute of Technology, State Street (United States)

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2147337930

Cites: 25

Cited by: 127

Related to: 10