Model Insight - Barra Issuer Specific Risk Model - February 2013

Feb 15, 2013

Non-government bonds contain a significant amount of risk that is idiosyncratic, often specific to individual assets.  Specific risk has greater significance as one moves down the credit quality spectrum, or when measuring the source of active tracking error against a benchmark.    Issuer Specific Risk is a new Barra Fixed Income model for analyzing and forecasting the specific risk of non-government bonds, providing accurate and responsive specific risk forecasts at the level of the bond issuer.