Risk Model Shops and Industrial Risk Models

February 5, 2010

Northfield Infomation Services: Northfield risk model here, publications here

adjust for sensitivity of estimation, considering constrain(tax, cost, fee, turnover etc.), translate RR model into easily comprehensible factors. chain optimization, backtesting w rebalancing.auto identify management style(normalize leverage, ?.) CUSUM(cumulated IR for exsample, claim to detect structure change), dispersion comparison to detect(skill v.s. luck).

APT , advanced portfolio technologies. using stats factor model, robust port optimization. acquired by Sungard. webinar, whitepaper etc. here

Barra: equity risk model details (fundamental model), including a short term trading model(predict vol mainly).

Quantal: acquired by reuters, app available in capital IQ


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