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Two-Factor Risk Model

In: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Author

Listed:
  • YI TANG

    (Goldman, Sachs & Co., Inc., USA)

  • BIN LI

    (Westport Financial, LLC, USA)

Abstract
The following sections are included:PCA and TFRM MethodologiesPrincipal Components AnalysisTwo-factor Risk Model SpecificationEmpirical ValidationApplicationsLevel-hedged Bullet/Barbell TradesTwo-factor Portfolio Hedging StrategyBond Indices with Level and Curve Risk ProfileAdjusted Durationsβ-Adjusted DurationHedging the Extremely Long EndFuture Directions

Suggested Citation

  • Yi Tang & Bin Li, 2007. "Two-Factor Risk Model," World Scientific Book Chapters, in: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market, chapter 11, pages 411-433, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706652_0011
    as

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