Research and Insights
Articles by Greg Anderson
Implied Volatility Factors in the Barra Integrated ModelResearch Report | Aug 9, 2005 |
Mortgage-Backed Securities Implied Prepayment (IPP) ModelResearch Report | Jun 30, 2005 |
Barra's Real Yield ModelResearch Report | Mar 27, 2004 |
Forecasting Total RiskResearch Report | Jan 1, 2003 |
A global model that forecasts risk for portfolios with holdings across several markets will typically disagree with the predictions of a model specifically adapted to a single market. Given a global model and a collection of single market models, we describe an optimal, consistent way to embed the single market forecasts into the global model. The method involves framing the problem as an optimization over the ortogonal group O(n).