Risk Model Shops and Industrial Risk Models
February 5, 2010
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).
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