The factor-loading tag has no wiki summary.
8
votes
4answers
597 views
What are the risk factors in analysing strategies?
What do you think of strategies displayed on timelyportfolio.blogspot.com?
I really like the fact that there is some code to reproduce the strategies, but they seem very elementary because he does ...
8
votes
1answer
1k views
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods:
The time-series regression approach of Fama and French. Factors are ...
6
votes
2answers
1k views
What does it mean to modify the factor loadings of a credit risk model?
I came across an example where a well-known weakness of a credit risk model was dealt with by augmenting some of the existing risk factors via increased factor loadings. This made the the model more ...
2
votes
1answer
101 views
Combining covariances?
Consider an economy with assets with return processes $A$, $B$, $C$, $D$. Consider a weighted index with return process $I=aA + bB + cC + dD$ where $a,b,c,d$ are coefficients, and $a+b+c+d = 1$.
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1
vote
0answers
132 views
How to use financial ratios in a factor model?
I am trying to understand how factor loadings in a general factor model are computed. For simplicity sake, lets assume a simple model:
$$
R = B \times F + \epsilon
$$
$$
R = N \times 1
$$
$$
B = N ...
