/


Creating and validating risk models [19]

Go to: Summary | Previous | Next   
Bullet points include: Introduce dependence between returns by assuming a factor structure for i I.e.Here B is a J N matrix and Y is an N N diagonal (or in practice just almost diagonal) matrix A vector of random variables may then be written as: Where bi,j is the (i,j)’th element of BTB, and vi equals the i’th diagonal element of D and fj has unit variance

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile