Market Risk Analysis Volume II: Practical Financial Econometrics

List of Tables

II.1.1 OLS alpha, beta and specific risk for two stocks and a 60:40 portfolio

II.1.2 Results of style analysis for Vanguard and Fidelity mutual funds

II.1.3 Risk factor correlations and volatilities

II.1.4 Risk factor covariance matrix

II.1.5 Factor betas from regression model

II.1.6 Multicollinearity in time series factor models

II.1.7 Factor correlation matrix

II.1.8 Eigenvalues and eigenvectors of the risk factor covariance matrix

II.1.9 Using orthogonal regression to obtain risk factor betas

II.1.10 Values of a fund and a benchmark

II.1.11 Values of a fund and two benchmarks

II.1.12 TE and MATE for the funds in Figure II.1.7

II.2.1 Correlation matrix of selected UK spot rates

II.2.2 Eigenvalues and eigenvectors of the correlation matrix of UK spot rates

II.2.3 Eigenvalues of the UK short spot rate covariance matrix

II.2.4 Cash flows and PV01 vector for a UK bond portfolio

II.2.5 Eigenvalues of UK yield curve covariance matrix

II.2.6 Eigenvalues for UK short spot rates

II.2.7 Stress test based on PCA factor model

II.2.8 Eigenvectors and eigenvalues of the three-curve covariance matrix

II.2.9 Ticker symbols for DJIA stocks

II.2.10 Cumulative variation explained by the principal components

II.2.11 PCA factor models for DJIA stocks

II.2.12 Portfolio betas for the principal component factors, and systematic, total and specific risk

II.3.1 Volatilities and correlations of three assets

II.3.2 Closing prices on the FTSE 100 index

II.3.3 Closing prices on the S&P 500 ...