MAC3 APAC Government & Credit Models
- Overview of the market and coverage
- Model factor structure
- Backtest performance of MAC3 vs legacy GRM
Speakers
Sue Li
Senior Quantitative Researcher
Bloomberg
Sue Li is a senior member in the fixed income portfolio risk and analytics research group at Bloomberg. She leads the research effort on developing securitized products, credit and derivatives across multi-asset fixed income risk and performance attribution models. Sue Li joined the team in 2017. Prior to Bloomberg, Sue worked at Lehman Brothers, Morgan Stanley, C12 Capital, and Barclays on Fixed Income Research. Sue graduated from Columbia University with a Ph.D. in Economics.
Zeyu Zhu
Quantitative Researcher
Bloomberg
Zeyu Zhu is a quantitative researcher in fixed income portfolio risk and analytics research group at Bloomberg. He focuses on Emerging Markets risk models and MAC3 fixed income model validation. Zeyu joined the team in 2022 after graduating from the Questrom business school, Boston University with a Ph.D. in Mathematical Finance.
Naima Hammoud
Quantitative Researcher
Bloomberg
Naima Hammoud joined Bloomberg in August 2022. She currently focuses on fixed income portfolio risk models in developed markets. Prior to Bloomberg, Naima was an Assistant Professor of Mathematics at New York University’s Courant Institute of mathematical Sciences. Naima obtained her Ph.D. in Applied Mathematics from Princeton University in 2016.