Barra Integrated Model
- Topics:
- Investment and Capital Markets
- Tags:
- Barra,
- Barra Integrated Model,
- Bond,
- Currency,
- Equity,
- Finance,
- Financial Services,
- Investment
- Source:
- Barra
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Overview: The Barra Integrated Model is a multi-asset class model for forecasting the asset and portfolio level risk of global equities, bonds, and currencies. This paper describes the methodology and construction of the model. First, it gives an overview of the aims and approach. It then describes the common basic structure used to build the global asset-class models, and looks at the application of this structure to equities and bonds. Lastly, it describes how currencies are modeled and provide detailed look at how it combines all the components to generate the full Barra Integrated Model.
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Format: PDF | Size: 1,495KB | Date: Feb 2003 | Pages: 20
