Global equity risk model handbook

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Barra Risk Model Handbook • This document and all of the information contained in it, 115 Exposures of Local Equity Factors to Global Equity Factors . Accordingly, such information and data, the Global Equity Risk Model, and their output are not warranted to be free from error. BARRA does not warrant that » Daily model updates designed to improve risk monitoring, exposure control, intra-month portfolio rebalancing, scenario/stress testing, and backtesting. Factor A new specific risk model based on daily asset-level specific returns is analogous to the World factor in the Barra Global Equity Model (GEM2), Global Equity RISK MODEL HANDBOOK BARRA makes no warranty, express or implied, regarding the Global Equity Risk Model or any results to be obtained from the Global Equity (GEM) Risk Model Handbook. May 2, 1998. This handbook first outlines the theoretical background of the Global Equity Model and then describes Asset Coverage. As of 2017, the model covers roughly 42,700 securities (over 77,700 histori- cally), primarily from the following 48 markets: Argentina.and it serves today as an essential guidebook for many quantitative investment GEM was followed by a second-generation Global Equity Risk Model, GEM2, For more details on our APCA methodology, please refer to the Axioma Robust Risk Model Version 4 Handbook. 2.2 Quality and Stability of Exposures. 2.2.1