Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Faktoru riska analīze ar galvenajām komponentēm× | Procentu likmes modeļi (Vasiceks, CIR, Nelsons-Sīgels)× | |
|---|---|---|
| Nozare | Finanses | Finanses |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1991 | 1977 |
| Autors≠ | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) | Vasicek (1977); Nelson & Siegel (1987) |
| Tips≠ | Statistical factor model (dimension reduction) | Term-structure / short-rate model |
| Pirmavots≠ | 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 ↗ |
| Citi nosaukumi≠ | 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 |
| Saistītās | 5 | 5 |
| Kopsavilkums≠ | 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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