The Barra Integrated Model

Jan 1, 2002

The Barra Integrated Model is 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 paper describes the methodology and construction of the model. First we give an overview of our aims and approach. We then describe the common basic structure we use to build the global asset-class models, and look at the application of this structure to equities and bonds. Lastly, we describe how currencies are modeled and provide a detailed look at how we combine all the components to generate the full Barra Integrated Model.