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Filtering by: Creator Motyka, Matt Keyword principal components analysis

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

Keyword:

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

Creator:

Motyka, Matt

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2003-04-29

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences