Webinar

MAC3 European Government & Credit Models

On Demand
Duration: 51 Minutes
Original Date: February 01, 2023

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In this webinar, we present the models for government, government-related, and corporate bonds in EUR, GBP, CHF and Scandinavia (SEK/NOK/DKK) in the new MAC3 fixed income suite. We will discuss factor structure and compare backtest performance with legacy GRM. - Overview of the market and coverage 
- Model factor structure
- Backtest performance of MAC3 vs legacy GRM

Speakers

Changxiu Li

Senior Quantitative Researcher

Bloomberg

Changxiu (Sue) is a Portfolio modeler in the Fixed Income Portfolio Analytics group. In this role, she is responsible for developing the portfolio analytics, risk models and performance attribution models that power Bloomberg fixed income portfolios. Prior to joining Bloomberg, Sue worked as a quantitative modeler and desk strategist at Lehman Brothers, Morgan Stanley and Barclays, specializing in fixed income asset classes.

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.

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