The Macro-Micro Model, Trends vs. Noise, and SSA - I

The Macro Micro (MM) model contains different time scales and deals with risk as it occurs in the real world, especially trend risk. A new methodology - Singular Spectrum Analysis (SSA) – is introduced to identify historical trends, trend volatilities, and noise-reduced trend-trend correlations. Application is for a long-term PFE risk simulation, including realistic quasi-random Macro trends. Two Macro versions of the MM model are presented – a statistical trend model and a historic “time-slice” trend model

Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Yang, Xipei (contributor) ; Bondioli, Mario (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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