John Burke is a member of the MSCI research team that specializes in the pricing and risk modeling of various asset classes across MSCI analytics. His focus is on the research and development of volatilty models. John holds a bachelor’s degree in physics from the California Institute of Technology and a doctorate in physics from the University of California at Berkeley.
Research and Insights
Articles by John Burke
Did hedging tail risk pay off?Blog | Apr 27, 2020 |
Investors taking stock of the coronavirus fallout and recent market volatility have begun exploring tail-risk-hedging strategies as a way to protect against further drawdowns. What are the potential costs and benefits of hedging against tail risk?
Modeling Private Assets in RiskManagerResearch Report | Apr 21, 2016 |
This Model Insight describes the introduction of private asset models into the time-series-based RiskMetrics’ RiskManager. The framework consistently combines the Barra Private Asset Models, based on low-frequency private asset returns, alongside the high-frequency models of other asset classes.