Posts Tagged ‘ Villa ’

Generating stress scenarios: null correlation is not enough

December 28, 2010
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Generating stress scenarios: null correlation is not enough

In a recent post (here, by @teramonagi), Teramonagi mentioned the use of PCA to model yield curve, i.e. to obtain the three factor, "parallel shift", "twist" and "butterfly". As in Nelson & Siegel, if m is maturity, is the yield of the cu...

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