The Barra Integrated Model - Part 1

Jan 1, 2002

Barra has recently released the Barra Integrated Model, a multi-asset class model for forecasting the asset and portfolio level risk of global equities, bonds, and currencies. The model uses innovative methods to couple broad asset coverage with the detailed analysis of Barra's models that focus on particular markets. This makes it suitable for a wide range of investment purposes, from conducting an in-depth analysis of a single-country portfolio to understanding the risk profile of a broad set of international investments. This article introduces the general modeling framework and methodology used to construct the Integrated Model. We first give an overview of our aims and approach. We then describe the common basic structure used to build two components of the Integrated Model – a global equity and a global bond model. Future articles will expand on these global asset-class models and describe how they are integrated.