Systems based on factors risk model to produce the expected risks, methods, and computer program products

摘要

Method based on risk factors model to generate a predicted risk. In one embodiment, the method includes selecting a set of securities, choosing a set of risk factors, determining the risk factor returns, building a risk factor covariance matrix to build the singular covariance matrix It can, for each risk factor, and to determine the factors load factor of each security that is selected, by projecting the future expected risk factors covariance matrix, and it includes projecting the future expected specificity covariance matrix. Use factors and load factor, and forward-looking risk factor covariance matrix, and future expectations of the singular covariance matrix, the variance of the securities that have been selected - it is possible to determine the forecast of the covariance matrix. In some embodiments, evaluating the factor loadings may include by performing a regression of the time series, to determine the sensitivity of the return of each strain to changes in factor returns.