MAC3 Muni Models

On Demand

Duration: 35 Minutes

Original Date: March 02, 2023

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In this webinar, we will present MAC3 GRM Risk Models for Municipal High-Yield and Municipal Investment-Grade markets. We will discuss the factor structures of these two models, and will provide their backtest performance and their term structure of risk relative to legacy GRM muni model. - Overview of Muni Market and Model Coverage
- Some Notes on separating IG and HY models
- Factor Structure of IG and HY Models
- Comparative backtest performance of Legacy GRM and MAC3 GRM

Speakers

Ali Dashti

Fixed Income Portfolio Risk and Analytics Researcher

Bloomberg

Ali Dashti is a senior member of the fixed income portfolio risk and analytics research group at Bloomberg. He focuses on developing risk models covering government, government-related, and municipal bond markets. Ali Dashti joined the team in 2015. Prior to joining Bloomberg PORT team, Ali worked at Bloomberg Fixed Income Valuation, BVAL, team. Ali graduated from New York University with a master’s degree in Mathematics in Finance. He also holds a Ph.D. in Mathematics from the University of Florida.

MAC3 Muni Models

Speakers

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