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Modeling the Fixed Income Risk of Asian Emerging Markets
Apr 10, 2006
The emergence of developed Asian credit markets represents a tremendous opportunity for fund managers but sound risk management is necessary. Building a simple yet reasonable risk model in these markets is a delicate task that requires overcoming three challenges: the limited vailability of historical data, the small number of bond issues, and in most markets the absence of a universally accepted, liquid benchmark. This report describes Barra’s approach to modeling fixed income risk in China, India, Hong-Kong, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand.
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