请问Reading 3 & 4 与 Fixed income (CFA II)的模型可以联系起来吗?是否能给出个层级关系或图例?谢谢
在三级的R3里,大概能到structural/reduced-form这一层级;在R4里,不确定是否能把reduced-form主要跟forecast volatility的结合在一起理解。
在二级FI里,R29 arbitrage-free valuation里提到term structure model由equilibrium+arbitrageg free组成,R31 credit analysis model里structural model与reduced form为同一层级。这里的term structure model是否与structural model没有直接联系?
Economic forecasting approach
- Econometrics
- Structural / Statistical
- equilibrium? risk premium?building block?
- arbitrage free? DCF?
- Reduced-form
- sample statistics (volatility)
- shrinkage (volatility)
- time-series/arch model (volatility)
- Indicator
- Checklist