ICA-based High Frequency VaR for Risk Management.
Patrick KouontchouBertrand MailletPublished in: ESANN (2007)
Keyphrases
- risk management
- high frequency
- independent component analysis
- low frequency
- risk evaluation
- decision support system
- risk assessment
- high resolution
- wavelet transform
- risk analysis
- wavelet coefficients
- high frequencies
- operational risk
- subband
- face recognition
- discrete wavelet transform
- feature extraction
- signal processing
- project management
- portfolio optimization
- decision making
- low pass
- factor analysis
- frequency band
- image compression
- high frequency components
- financial institutions
- multiresolution
- knowledge base
- information systems
- low and high frequency