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Risk Analysis Using the Barra Europe Stochastic Model

The webinar gives an overview of the new Barra Europe Stochastic Factor Model (EURS1) including comparisons with traditional statistical models. We use various European portfolio case studies to demonstrate the benefits of using EURS1 alongside traditional Barra fundamental models.

Agenda Topics:

  • Overview of the EURS1 methodology
  • Risk and exposure analysis of European portfolios using EURS1 factors and basic comparisons with the Barra EUE3S and L models
  • Portfolio analysis using the 6 variants of the EURS1 which include daily, weekly and monthly horizons split into fast and slow versions

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