Factor model

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Factor model

A way of decomposing the forces that influence a security's rate of return into common and firm-specific influences.

Factor Model

A mathematical calculation of the extent to which macroeconomic factors affect the securities in a portfolio. Factor models attempt to account for contingencies like changes in interest rates or inflation. Factor models fall into three main categories. A statistical factor model attempts to explain risks particular to an investment. A fundamental factor model looks at risks to an industry or market that may affect a portfolio. Finally, a macroeconomic factor model considers relevant risks to the wider economy. See also: Risk analysis.
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The company s flagship product offerings are: the MSCI indices with approximately USD 7 trillion estimated to be benchmarked to them on a worldwide basis; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due?
The company s flagship product offerings are: the MSCI indices with close to USD 7 trillion estimated to be benchmarked to them on a worldwide basis; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; IPD real estate information, indices and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due?
The company's flagship product offerings are: the MSCI indices with close to USD 7 trillion estimated to be benchmarked to them on a worldwide basis1; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; and FEA valuation models and risk management software for the energy and commodities markets.
The original material--covering Markov chain Monte Carlo methods, derivative pricing using jump diffusion with closed-form formulas, value at risk calculation using extreme value theory base on a nonhomogeneous two-dimensional Poisson process, and multivariate volatility models with time-varying correlations--has been expanded to include discussion consistent covariance estimation under heteroscedasticity and serial correlation, alterative approaches to volatility modeling, financial factor models, stat-space models, Kalman filtering, and estimation of stochastic diffusion models.
The application of dynamic factor models to macroeconomic time-series variables was developed by T.
The company s flagship product offerings are: the MSCI indices with close to USD 7 trillion estimated to be benchmarked to them on a worldwide basis; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due?
EURS1 provides new insights into market dynamics that complement the analytical power offered by the Barra fundamental factor models.
The company s flagship product offerings are: the MSCI indices with approximately USD 7 trillion estimated to be benchmarked to them on a worldwide basis; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due?
The company's flagship product offerings are: the MSCI indices with approximately USD 7 trillion estimated to be benchmarked to them on a worldwide basis1; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; and FEA valuation models and risk management software for the energy and commodities markets.
The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk.
2 Introduces Performance Infilling for Measurement of Illiquid Asset Risk in Multi-Manger Portfolios; New Global Factor Models Enable Geographic-Specific Risk Analysis
The use of common factor models seems generally appropriate in marketing applications where one's prior structural knowledge is diffuse or vague, and when variables are measured with less than perfect reliability.