A statistically derived market-wide index used to correlate the effects of specific risks on capital assets. Multiple index models based on various economic and market factors can also be applied to strengthen the assumptions of risk.
Related information about index model:
- Single-index model - Wikipedia, the free encyclopedia
The single-index model (SIM) was first suggested by William Sharpe, and is a simple asset pricing model commonly used in the finance industry to measure risk ...
- Index Models
A Single Index Model. An Index Model is a Statistical model of security returns ... A Single Index Model (SIM) specifies two sources of uncertainty for a security's ...
- Index Model - Financial Dictionary - The Free Dictionary
Definition of Index Model in the Financial Dictionary - by Free online English dictionary and encyclopedia. What is Index Model? Meaning of Index Model as a ...
- Index Models - Pages
The Single-Index Model. ▫ now, we need a measure for F, the common macroeconomic factors. ▫ since a market index corresponds to a well- diversified ...
- The Single Index Model
The Single Index Model. Relates returns on each security to the returns on a common index, such as the S&P 500 Stock Index. Expressed by the following ...
- The Single-Index Model For Security Returns
A tutorial on security single-index models and how the returns of securities are related to both systematic and unsystematic risks. Subtopics: The Single-Index ...
- Econ 424/Amath 540 Single Index Model
Aug 9, 2012 ... Sharpe's Single Index Model. . = . + . . + . = 1; = 1 where. . are constant over time. . ...
- Systematic Interest-Rate Risk in a Two-Index Model of Returns - JStor
I. The Market-Index Model and Its Limitations. In the linear market-index model of the return-generating process, return on security j is given by. 'IV~. (1). R, = a.