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Modeling Private Assets in RiskManager

categories: Research Paper, SHEPARD Peter, LIU Yang, BURKE John, general

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.

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Private Assets on RM Research Notes.pdf