Financial Risk Factors

S. Basu, G. Michailidis, “Low-rank and sparse modeling of high-dimensional vector auto-regressions”, Preprint, 2015.

A. Shkolnik, “Identifying financial risk factors with a low-rank/sparse decomposition”, Risk Seminar, 2016.

C. Li, "Sparse and Low-rank Matrix Decomposition – Application in Finance", PhD Thesis, UC Santa Barbara, USA, 2024