Asset-Liability Modeling in BarraOne
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چکیده
MSCI Barra Product Insights © 2007 MSCI Barra. All rights reserved. 1 of 10 Please refer to the disclaimer at the end of this document. This case study provides an introduction to modeling assets and liabilities for asset owners within BarraOne. We show how to use BarraOne to analyze both assets and liabilities in a shared framework for understanding risk and return. Our example uses zero coupon bond instruments to proxy for liabilities although other proxies may be easily substituted. We illustrate how to analyze the surplus risk of the portfolio focusing on market risk specifically. Other sources of risk—nonmarket or biometric risk—are not addressed here but are discussed.
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تاریخ انتشار 2007