Webinar

MAC3 Global Inflation Linked Bonds Models

On Demand
Duration: 44 Minutes
Original Date: February 15, 2023

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Inflation has been rising across the globe, in the seimar, we present the new MAC3 global inflation-linked bond risk model and compare its backtest performance with legacy GRM. In addition, we introduce the flexible attribution framework for inflation-linked bonds (nominal, and real curve attribution) and conclude with interesting case studies to highlight the insights from these models. - Overview of inflation linkers: pricing model and analytics
- MAC3 global inflation-linked bonds factor model, 
- backtest performance of MAC3 vs legacy GRM, 
- Real curve attribution for inflation linked bonds with case studies

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.

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.

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