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Market Insight - When Hurricane Sandy Closed Wall Street - November 2012
Nov 10, 2012
The US equity market closures necessitated by Hurricane Sandy posed the potential for returns or risks to spike once the markets reopened. We examine a number of RiskMetrics and Barra risk models in the aftermath of the storm, concluding that markets largely returned to normalcy, and no special model treatment of those days was necessary.
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Research authors
- Oleg Ruban, Head of Analytics Applied Research for Asia Pacific
- Christopher Finger