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GET A SNEAK PEEK AT OUR FAT-TAIL MULTI-ASSET CLASS RISK MODEL

MONITOR PREDICTABLE RISK ANALYTICS WITH
FAT-TAIL MULTI-ASSET CLASS RISK MODEL

Fat-tail multi-asset class risk model ipad

Risk management represents a critical ingredient in the investment decision-making process, and the reliability and predictability of risk estimates has become increasingly important to it. FactSet’s multi-asset class risk models have been designed and developed to serve risk and portfolio managers’ growing need for reliable monitoring and proactive management of multi-asset class investment portfolios.

In our Fat-Tail Multi-Asset Class Risk Model technical overview, we illustrate how FactSet’s Fat-Tail Multi-Asset Class risk model enhances the scenario generation methodology of the MAC model, allowing each risk factor to follow a dynamic fat-tailed distribution and capturing tail-dependence via a copula function. This new risk model incorporates the existing factor structure of the FactSet Multi-Asset Class risk model while applying the fat-tail methodology described in this technical overview.

 

Download the Fat-Tail Multi-Asset Class Risk Model overview to discover:

  • Why the new fat-tail multi-asset class risk model was created
  • How the model works
  • How risk analytics and reporting are delivered

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