MAC3 North America Government & Credit Models
- Overview of the market and coverage
- Model factor structure
- Backtest performance of MAC3 vs legacy GRM
Speakers
Yingjin Gan
Head of Fixed Income Portfolio Research
Bloomberg
Yingjin Gan heads up the fixed income portfolio risk and analytics research group at Bloomberg. She leads the research effort on developing fixed income risk models and performance attribution models. She also plays an important role in model implementation, quality control, and model publications. She joined the team in December 2008. Prior to Bloomberg, Yingjin worked at Lehman Brothers’ Fixed Income Research Department since 2005. Her role was to develop the performance attribution capabilities of Lehman’s portfolio management platform (POINT), and market the platform to asset managers, hedge funds and insurance companies. Yingjin graduated from the Wharton school, University of Pennsylvania with a Ph.D in Applied Economics in 2005.
Gustavo Pereira
Quanititative Research
Bloomberg
Gustavo Pereira is a quantitative researcher in the fixed income portfolio risk and analytics research group at Bloomberg. He focuses on developed market credit and CDS risk models. Before joining Bloomberg in 2021, Gustavo received his Ph.D. in Economics from Columbia University, where he conducted research on the connection between risk premia and the cyclicality of labor markets.