Post by Sapphire Capital on Feb 7, 2009 4:30:56 GMT 4
A New Risk Regime
MSCI Barra
December 2008
MSCI Barra Research Paper No. 2008-05
Abstract:
This Research Bulletin uses the responsiveness of the new GEM2 model to examine the discrete jumps in risk forecasts during the current crisis as well as past crises. We find that the October risk forecast jump of 74% is unprecedented in the last 15 years and relates to large changes in the leverage factor.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1332044_code1141713.pdf?abstractid=1332044&mirid=1
MSCI Barra
December 2008
MSCI Barra Research Paper No. 2008-05
Abstract:
This Research Bulletin uses the responsiveness of the new GEM2 model to examine the discrete jumps in risk forecasts during the current crisis as well as past crises. We find that the October risk forecast jump of 74% is unprecedented in the last 15 years and relates to large changes in the leverage factor.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1332044_code1141713.pdf?abstractid=1332044&mirid=1