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Building a Truly Global Portfolio Risk Model
Jun 1, 1994
Barra's strategy for international risk modeling has been to treat developed markets and emerging markets separately. The developed markets are addressed in the Global Equity Model (GEM) whereas the emerging markets are included in the Emerging Markets Model (EMM). Can the two markets be integrated into GEM? The advantages of such an integration are numerous but disadvantages exist as well. This article (the first in a series) will approach the problem from the perspective of institutional barriers and data limitations. A later article will consider the quantitative/statistical side of building such a model.