Factor analysis reduces correlations to interactions between a small number of risk factors. For fixed-income portfolios, the

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Factor analysis reduces correlations to interactions between a small number of risk factors. For fixed-income portfolios, the number of factors should be two, irrespective of the portfolio. Discuss.

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Value at Risk The New Benchmark for Managing Financial Risk

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Question Posted: May 03, 2016 02:15 AM

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Factor analysis reduces correlations to interactions between a small number of risk factors. For fixed-income portfolios, the

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Hence for the final analysis we can say that thi...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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