MAC3 FI Emerging Markets

On Demand

Duration: 37 Minutes

Original Date: February 08, 2023

In this webinar, we present MAC3 Emerging Market Hard Currency (EMHC) model and Emerging Market Local Currency (EMLC) model. Compared to MAC2 and legacy GRM, MAC3 emerging market models have greatly expanded the coverage, and they provide superior backtest performance with the state-of-art covariance matrix estimation techniques.

- MAC3 Emerging Market Hard Currency model, model coverage and factor structure.
- MAC3 EMHC backtest performance vs legacy GRM.
- MAC3 Emerging Market Local Currency model, model coverage and factor structure.
- MAC3 EMLC 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.

MAC3 FI Emerging Markets

Speakers

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