The Barra Integrated Model, Version 203:  Implications for Risk Forecasts

Sep 1, 2004

This article describes these enhancements and their impact on a variety of portfolios. First, we describe the changes that are introduced with version 203 and provide references to research documents describing these enhancements in greater detail. Next, we examine the effects of these changes on correlations between markets and asset classes. We then explore the impact of changes on equity portfolios and fixed income portfolios. Finally, we examine the risk forecasts for several multi-market and multi-asset-class portfolios.