Social Sharing
Extended Viewer
The Barra Integrated Model - Part 2
Jan 1, 2003
In the Autumn 2002 edition of Horizon, we introduced our new framework for global risk analysis, the Barra Integrated Model. This multi asset class framework was developed with two goals in mind: breadth of coverage and in-depth analysis. Risk analysis using the Integrated Model allows investment professionals to capture the detail available with local market models while retaining the broad perspective of a global, multi asset class model. To achieve these objectives, we first built models for three separate asset classes: global equities, global bonds and currencies. The general methodology for constructing these models was described in Part One. In this article, we more fully specify the structure for each asset class.
Download