摘要 |
A factor risk model based method for generating risk forecasts. In one embodiment, the method includes: selecting a set of securities; selecting a set of risk factors; determining the risk factor returns; constructing a risk factor covariance matrix; constructing an idiosyncratic variance matrix; determining, for each risk factor, a factor loading coefficient for each selected security; projecting the risk factor covariance matrix into a future forecast; and projecting the idiosyncratic variance matrix into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities. In some embodiments, the step of estimating factor loadings includes performing a time series regression to obtain the sensitivity of each stocks' return to variations in the factor's return. |
申请人 |
ITG SOFTWARE SOLUTIONS INC.;MADHAVAN, ANANTH;ASRIEV, ARTEM, V.;KARTINEN, SCOTT, J.;YANG, JIAN;SERBIN, VITALY;DOMOWITZ, IAN;GOSIER, KENNETH, E. |
发明人 |
MADHAVAN, ANANTH;ASRIEV, ARTEM, V.;KARTINEN, SCOTT, J.;YANG, JIAN;SERBIN, VITALY;DOMOWITZ, IAN;GOSIER, KENNETH, E. |