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| 주요 요인 위험 요소× | 이자율 모형 (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| 분야 | 재무학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1991 | 1977 |
| 창시자≠ | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) | Vasicek (1977); Nelson & Siegel (1987) |
| 유형≠ | Statistical factor model (dimension reduction) | Term-structure / short-rate model |
| 원전≠ | 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 ↗ |
| 별칭≠ | 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 |
| 관련 | 5 | 5 |
| 요약≠ | 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). |
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