Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Facteurs de Risque par Composantes Principales× | Modèles de taux d'intérêt (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1991 | 1977 |
| Auteur d'origine≠ | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) | Vasicek (1977); Nelson & Siegel (1987) |
| Type≠ | Statistical factor model (dimension reduction) | Term-structure / short-rate model |
| Source fondatrice≠ | Litterman, R. & Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income, 1(1), 54-61. DOI ↗ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Alias≠ | risk factor PCA, return covariance decomposition, statistical factor model, Risk Faktörü PCA (Getiri Kovaryans Ayrışımı) | term structure models, short-rate models, yield curve models, Vasicek model |
| Apparentées | 5 | 5 |
| Résumé≠ | 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. | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). |
| ScholarGateJeu de données ↗ |
|
|