BLOOMBERG – MAC3 Global Inflation Linked Bonds Models

MAC3 Global Inflation Linked Bonds Models

Inflation has been rising across the globe, in the seimar, 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) and conclude with interesting case studies 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,
– Real curve attribution for inflation linked bonds with case studies

February 15, 2023