MAC3 Tail Risk Model Provides Improved Var Forecasting During Volatile Markets
Continued uncertainty in the global equity markets further emphasizes the importance to accurately quantify and better understand what’s driving portfolio risk.
Join David Frank, Tail Risk Model specialist on the Portfolio Risk & Analytics team, as he examines how Bloomberg's new MAC3 Tail Risk model led to better VaR forecasting during the pandemic.
Discussion topics
-Performance of MAC3 VaR model compared to MAC2 VaR
-Pricing approach for derivatives and other high-convexity securities
-Importance of term structure of risk
-Evaluation of model performance and back-test results
Join David Frank, Tail Risk Model specialist on the Portfolio Risk & Analytics team, as he examines how Bloomberg's new MAC3 Tail Risk model led to better VaR forecasting during the pandemic.
Discussion topics
-Performance of MAC3 VaR model compared to MAC2 VaR
-Pricing approach for derivatives and other high-convexity securities
-Importance of term structure of risk
-Evaluation of model performance and back-test results
Speakers
David Frank
Bloomberg