Macro-Micro, Trends vs. Noise, and SSA - II

27 Pages Posted: 12 Jul 2016 Last revised: 17 Sep 2016

See all articles by Jan Dash

Jan Dash

Bloomberg LP

Xipei Yang

Bloomberg L.P.

Mario Bondioli

Bloomberg L.P.

Date Written: July 11, 2016

Abstract

We describe some details of extensions of the Macro Micro (MM) model. Applications include a long-term real-world PFE risk simulation, including realistic quasi-random Macro trends. The details elaborated here include the use of the 3rd order skew Green function to obtain micro mean reversion, a random time distribution for the Macro component, sliding down the yield curve, and approximate no-arbitrage in the MM model.

Keywords: macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

JEL Classification: C14, C63, E44, F65, G1

Suggested Citation

Dash, Jan and Yang, Xipei and Bondioli, Mario, Macro-Micro, Trends vs. Noise, and SSA - II (July 11, 2016). Available at SSRN: https://ssrn.com/abstract=2808170 or http://dx.doi.org/10.2139/ssrn.2808170

Jan Dash (Contact Author)

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Xipei Yang

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

Mario Bondioli

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

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