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Carl Gold

Research and Insights

Articles by Carl Gold

    Tailoring Bond Recovery Rates: Recommendations and Analytical Impact

    Research Report | Jun 18, 2015 | Andrew DeMond, Chenlu Zhou, Carl Gold

    Bond recovery rates after default vary considerably across seniorities, industries, regions and macroeconomic environments. In this RiskMetrics Technical Note, we update our recommendations for bond recovery rates to reflect this diversity and discuss their impact on bond analytics. To support our new recommendations, we introduce a flexible configuration for managed services clients that provides additional granularity when setting recovery rates for generic bonds.

    Model Insight - Modeling the Market Risk of Emerging Market Hard Currency Bonds - August 2013

    Research Report | Aug 28, 2013 | Carl Gold

    In the past ten years, there has been a dramatic increase in the issuance of hard currency bonds by emerging market issuers. This development pre-dates the financial crisis of 2008, but the ensuing low yield environment in developed markets helped propel the trend as bond holders around the world searched for yield.  With yields now rising in developed markets and emerging market economies coming under pressure, emerging market bond portfolios may be facing a new period of...

    Model Insight - New Implied Volatility Factors in the Barra Integrated Model - July 2013

    Research Report | Jul 26, 2013 | Carl Gold

    The valuation of a fixed income security depends on an interest rate model. For instruments with no embedded optionality, only the current term structure plays a role in valuation and risk analysis. In contrast, the uncertain character of future interest rates has a significant impact on the analysis of instruments with optionality; for example, callable bonds, mortgage pass-throughs, or explicit options like caps and swaptions. The implied volatility factors of the Barra Integrated Model...

    Model Insight - Barra Issuer Specific Risk Model - February 2013

    Research Report | Feb 15, 2013 | John Fox, Carl Gold

    Non-government bonds contain a significant amount of risk that is idiosyncratic, often specific to individual assets.  Specific risk has greater significance as one moves down the credit quality spectrum, or when measuring the source of active tracking error against a benchmark.    Issuer Specific Risk is a new Barra Fixed Income model for analyzing and forecasting the specific risk of non-government bonds, providing accurate and responsive specific risk forecasts at the...

    Model Insight - Curve Estimation for Municipal Bond Risk - January 2013

    Research Report | Jan 18, 2013 | Carl Gold

    This paper describes the new MSCI curve fitting method for municipal bond curves and its application in the Barra municipal bond risk model.  The new method replaces the municipal bond curves from Delphis-Hanover and Municipal Market Advisors. The MSCI method addresses the challenges presented by the large and heterogeneous municipal bond universe, the lack of liquid pricing, and the widespread presence of redemption provisions (embedded calls) in municipal bonds.  Because the new...