MAC3 Emerging Market Fixed Income Models
- MAC3 EMHC backtest performance vs legacy GRM.
- MAC3 Emerging Market Local Currency model, model coverage and factor structure.
- MAC3 EMLC curve change and backtest performance 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.
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.