Extended Viewer
Greg Anderson
Research and Insights
Articles by Greg Anderson
Implied Volatility Factors in the Barra Integrated Model
Research Report | Aug 9, 2005 | Greg AndersonMortgage-Backed Securities Implied Prepayment (IPP) Model
Research Report | Jun 30, 2005 | Greg AndersonForecasting Total Risk
Research Report | Jan 1, 2003 | Greg Anderson, Lisa Goldberg, Alec Kercheval, Guy MillerA global model that forecasts risk for portfolios with holdings across several markets will typically disagree with the predictions of a model specifically adapted to a single market. Given a global model and a collection of single market models, we describe an optimal, consistent way to embed the single market forecasts into the global model. The method involves framing the problem as an optimization over the ortogonal group O(n).