Webinar

MAC3 Fixed Income Models

On Demand
Duration: 38 Minutes
Original Date: January 25, 2023

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In this webinar, we provide an overview of our best-in-class fixed income factor models. Compared to legacy models, the new MAC3 fixed income models have been enhanced with new covariance matrix estimation techniques, expanded coverage of yield curves and emerging market countries, and enhanced factor structures in many models. It offers 6 distinct horizons and is updated daily following a rigorous quality assurance (QA) process.

- MAC3 fixed income model factor structure enhancement
- Removal of the default risk and the new credit models
- MAC3 fixed income covariance matrix estimation
- Summary model backtest performance in comparison to 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.

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