In the credit risk weighted assets formula for derivatives, the exposure-at-default is scaled by a multiplier: the so-called internal alpha factor. This has been ...

The Alpha Factor Library, which was launched in 2008 and is available on the S&P Capital IQ platform and the vendor’s Xpressfeed datafeed, provides access to a range of investment strategies—or “alpha ...

Alpha represents the excess returns over any specific benchmark such as an equity index. This factor is typically represented by stocks that have demonstrated strong outperformance against benchmarks, ...

Example 8.4: Alpha Factor Analysis This example shows how an algorithm for computing alpha factor patterns (Kaiser and Caffrey 1965) is transcribed into IML code. For later reference, you could store ...