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Modeling Private Assets in RiskManager
Apr 21, 2016
This Model Insight describes the introduction of private asset models into the time-series-based RiskMetrics’ RiskManager. The framework consistently combines the Barra Private Asset Models, based on low-frequency private asset returns, alongside the high-frequency models of other asset classes.
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Research authors
- Yang Liu, Executive Director, MSCI Research
- John Burke, Executive Director, MSCI Research
- Peter Shepard, Managing Director, MSCI Research