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| Hauptkomponenten-Risikofaktoren× | Kreditrisikomodelle (Merton, KMV, CreditMetrics)× | |
|---|---|---|
| Fachgebiet | Finanzwirtschaft | Finanzwirtschaft |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1991 | 1974 |
| Urheber≠ | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) |
| Typ≠ | Statistical factor model (dimension reduction) | Structural and portfolio credit risk model |
| Wegweisende Quelle≠ | Litterman, R. & Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income, 1(1), 54-61. DOI ↗ | Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. DOI ↗ |
| Aliasnamen≠ | risk factor PCA, return covariance decomposition, statistical factor model, Risk Faktörü PCA (Getiri Kovaryans Ayrışımı) | Merton model, KMV model, CreditMetrics, structural credit risk model |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | Risk Factor PCA is a dimension-reduction method that decomposes the return covariance matrix of many assets into a small set of orthogonal principal components interpreted as systematic risk factors. Litterman and Scheinkman (1991) used it to show that bond returns are driven by a few common factors, and Connor and Korajczyk (1988) developed the statistical-factor interpretation for the APT. | Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997. |
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