Raymond G. M. Brummelhuis

University of London - Economics, Mathematics and Statistics

Malet Street

London, WC1E 7HX

United Kingdom

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Principal Component Value at Risk

Mathematical Finance, Vol. 12, pp. 23-43, 2002
Number of pages: 21 Posted: 22 Dec 2002
Raymond G. M. Brummelhuis, Antonio Cordoba, Maite Quintanilla and Luis A. Seco
University of London - Economics, Mathematics and Statistics, Universidad Autónoma de Madrid - Department of Mathematics, University of Toronto and University of Toronto
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