Showing 9301 - 9310 of 9,455 entries
Research PaperRiskMetrics Monitor - RiskMetrics Monitor 4Q96
Testing RiskMetrics volatility forecasts on emerging markets dataWhen is non-normality a problem? The case of 15 time series from emerging markets
Research PaperMeasuring Information Ratios
The ratio of active return to active risk annualized, known as the Information Ratio (IR), is a key statistic governing active management. All investors, no matter what their aversion to risk, will seek the highest information ratio possible. Unfortunately, it's very hard to accurately measure an IR. There is no quick fix to the measurement problems confronted by the investment business.
Research PaperAvalanches Earthquakes and Stock Market Crashes
One of the most important and successful concepts in finance is the stochastic process. Although stochastic processes originated from a study of Brownian motion in physics, they have since been applied to many areas in finance including options valuation, equity risk modeling, and fixed income risk modeling. Recently, another concept in physics, the theory of self-organized criticality, has generated much excitement. This theory, which has already been applied to such diverse areas as...
Research PaperRiskMetrics Monitor - RiskMetrics Monitor 3Q96
Accounting for "Pull to Par" and "Roll Down" for RiskMetrics cashflows How accurate is the Delta-Gamma Methodology? VaR for basket currencies
Research PaperThe Global Equity Model vs. the Emerging Markets Model: A Comparison
The new, expanded GEM model with broader emerging markets coverageespecially in Eastern Europe and Asiais generally more appropriate for emerging markets portfolio managers than Barra's DOS-based Emerging Markets Model. GEM and EMM both produce similar relative risk characteristics and risk forecast results for an emerging market portfolio with minimal exposure to the extra EMM risk index, liquidity. The tracking error in both versions is similar, with the largest...
Research PaperImplied Prepayments
Valuation of mortgage-backed securities (MBSs) using option-theoretic methods presents some puzzles. First, the option-adjusted spreads (OASs) of passthroughs are significantly larger than the spreads of agency debt, even though they are comparable credits. Second, the OASs of interest-only (IO) and principal-only (PO) strips are typically very different from those of the passthroughs they were created from - IOs generally have large positive OASs while POs have negative OASs. These results...
Research PaperFixed Income Active Strategies
This article investigates how, conceptually, to succeed at fixed income active management. Drawing on the basic framework for active management established in "Seven Quantitative Insights Into Active Management: Insight Two" (this issue), we will discuss how to succeed at active management, and then make some empirical observations about fixed income managers. The key to active management is the information ratio. Given typical information ratios, fees and expenses, and active risk...
Research PaperSeven Quantitative Insights into Active Management, Part 2
Information ratios determine value added.
Research PaperRiskMetrics Monitor - RiskMetrics Monitor 2Q96
An improved methodology for measuring VaR that allows for a more realistic model of financial return tail distributions A value-at-risk analysis of currency exposures underscoring the limitations of standard VaR when underlying market return distributions deviate significantly from normality Estimating index tracking error for equity portfolios
Research PaperMacroeconomic Risk Perspective
Macroeconomic risk analysis can provide an intuitive framework for equity portfolios. Traditionally, investors and researchers have considered the macroeconomic approach, the fundamental approach, and the statistical approach to risk modeling to be mutually exclusive. The conventional wisdom is that if you want the forecasting accuracy of the fundamental approach, you cannot also have macroeconomic intuition. This is incorrect. Barra is now developing analytics to provide macroeconomic...