Questions tagged [risk-models]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
13 votes
2 answers

Cluster analysis vs PCA for risk models?

I built risk models using cluster analysis in a previous life. Years ago I learned about principal component analysis and I've often wondered whether that would have been more appropriate. What are ...
chrisaycock's user avatar
  • 9,797
8 votes
4 answers

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 ...
user40's user avatar
  • 2,687
22 votes
2 answers

How do macro funds manage risk and model asset returns? Do they use factor models?

Some of the largest funds in the world are entirely macro-based: Soros, Brevan Howard, Bridgewater. They trade across asset classes, and seemingly with very concentrated allocations. What type of risk ...
gappy's user avatar
  • 3,583

1 2 3