Journal of Risk

Risk.net

Integrating multi-market risk models

Peter G. Shepard

ABSTRACT

We present a method of consistent integration of factor models across multiple markets. By aggregating successively broader models, it allows the inclusion of many more risk factors than would normally be possible with a limited time series of data. The method achieves local market consistency by exploiting natural corrections to factor exposures, providing advantages over a previous approach to integrated models. The framework is also extended to allow specific cross-market correlations among individual market factors, taking into account the relationships not captured by the coarse-grained global model.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: