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R-Squared interview on risk modeling methodology is now available to listeners
Friday, January 30, 2009
FactSet’s most recent podcast episode features Jason MacQueen of R-Squared, a custom risk model provider for investment managers. Jason MacQueen R-Squared’s methodology delves into the details of the global short-term risk model that the company recently added to FactSet.
MacQueen also illustrates some changes that R-Squared has made to their models to move them away from a more traditional format. “One of the shortcomings of traditional risk models has been that they select a set of factors which they hope would explain most of the common factor risk present in the universe of securities, and then they tend to assume that everything else is uncorrelated,” MacQueen noted. He goes on to describe that beyond typical currency, country, and industry factors, you can create statistical factors to try to account for residual common factor risk.
MacQueen and Carr also go in-depth into when and how managers should use a global versus a single country model, as well as the need for models to adapt over time and if models ever outlive their usefulness.
To hear more from Jason MacQueen of R-Squared, listen to our full interview on iTunes. You can also listen to the full audio online, or read a transcript of the interview.
FactSet continues to provide our users and the public with perspectives and insights into the topics that drive financial markets. Through our podcast series, we offer a range of interviews with experts both from inside our company and from among our clients and partners. You can subscribe to our podcast in iTunes to receive a new episode every three weeks. To learn more about podcasting, visit apple.com.
