Tag: risk-models
Concepts
- Alpha Model vs Risk Model Alignment
- Barra-Style Equity Risk Models
- Eigenfactor Bias Adjustment
- Estimating the Factor Covariance Matrix
- Fundamental vs Statistical Factor Models
- Internal Models vs the Standardised Approach
- Missing Data and Imputation
- The Berkowitz Test for Density Forecasts
- Volatility Regime Adjustment in Risk Models