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Risk Measurement of Mortgage-Backed Security Portfolios via Principal Components and Regression Analyses

关键词:

Mortgage-Backed securities, portfolio risk decomposition, principal components regression, and principal components analysis

创造者:

Motyka, Matt

Advisor:

Vermes, Domokos

出版者:

Worcester Polytechnic Institute

创建日期:

2003-04-29

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences