MAC3 Global Inflation Linked Bonds Models – EMEA
- MAC3 global inflation-linked bonds factor model
- Backtest performance of MAC3 vs legacy GRM
- Case study: real curve attribution for inflation linked index
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.
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.