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John Fox

Research and Insights

Articles by John Fox

    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 - Sweden Credit Model Enhancements in BIM301 - June 2012

    Research Report | Jun 9, 2012 | John Fox , Jason Kremer

    The  new BIM301 Sweden Credit model for non-government bonds offers a more granular view of risk for these assets. The model is similar in structure to the Barra credit factor models for other developed markets, including the US, UK, and EMU. We have added six sector-by-rating spread factors, each aligned with a particular segment of the Sweden credit market. In addition, we have developed a rating transition specific risk model for Sweden, similar in structure to the specific risk...

    Model Insight - Barra Term Structure Models for BIM301

    Research Report | May 9, 2012 | John Fox , Erdem Ultanir , Andrew DeMond

    MSCI has enhanced Barra government bond models that cover all developed nominal and inflation-protected markets and added five new emerging market models. BIM301 models improve in-sample and risk forecasting by estimating more detailed and longer term structures and improved risk modeling, including higher frequency weekly returns, short and long horizon models, and improved specific risk models.

    Modeling Value at Risk with Factors

    Research Report | Oct 1, 2009 | John Fox , Kelly Chang , Angelo Barbieri , Vladislav Dubikovsky

    Factor models are standards in investment management. For decades, Barra factor models have provided valuable risk forecasts and inputs for the portfolio construction process. Most uses of factor models have targeted longer horizons of months or years. However, we demonstrate in this paper that factor models can also provide accurate risk forecasts for shorter horizons of one to ten days. Furthermore, factor models have the advantage of explaining risk sources and providing consistency in...