مقایسهٔ روشها
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| مدل ریسک چندعاملی (فاما-فرنچ، APT)× | مدلهای ریسک اعتباری (مرتون، KMV، CreditMetrics)× | |
|---|---|---|
| حوزه | مالی | مالی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 1993 | 1974 |
| پدیدآور≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) |
| نوع≠ | Multi-factor linear regression model | Structural and portfolio credit risk model |
| منبع بنیادین≠ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. 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 ↗ |
| نامهای دیگر≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | Merton model, KMV model, CreditMetrics, structural credit risk model |
| مرتبط | 5 | 5 |
| خلاصه≠ | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. | 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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