BLOOMBERG – MAC3 Global Inflation Linked Bonds Models – EMEA

MAC3 Global Inflation Linked Bonds Models – EMEA

Inflation has been rising across the globe. In the webinar, we present the new MAC3 global inflation-linked bond risk model and compare its backtest performance with legacy GRM. In addition, we introduce the flexible attribution framework for inflation-linked bonds (nominal and real curve attribution). We conclude with an interesting case study to highlight the insights from these models. – Overview of inflation linkers: pricing model and analytics
– MAC3 global inflation-linked bonds factor model
– Backtest performance of MAC3 vs legacy GRM
– Case study: real curve attribution for inflation linked index

February 15, 2023