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Back-testing Studies on the FactSet Short-term Risk Model During the COVID-19 Outbreak

May 14, 2020

It became a common theme post-2008 that VaR is not able to capture extreme events. This is only true if VaR is assessed based on...

By Boryana Racheva-Iotova  |  Coronavirus  |  Risk, Performance, and Reporting

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Blog Posts

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May 14, 2020

Back-testing Studies on the FactSet Short-term Risk Model During the COVID-19 Outbreak

It became a common theme post-2008 that VaR is not able to capture extreme events. This is only true if VaR is assessed based on...

By Boryana Racheva-Iotova  |  Coronavirus  |  Risk, Performance, and Reporting

Read more

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May 13, 2020

COVID-19 and the Mortgage Market

In this article, we will address some policy changes related to the U.S. mortgage market and our model changes as well as a few...

By Tom P. Davis, PhD, CFA  |  Coronavirus  |  Risk, Performance, and Reporting

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May 6, 2020

Be Aware, Adapt, Innovate--or What We Learn from Mandelbrot, Noah, and Covid-19

A year before the breakout of COVID-19, I published an article which discusses how to transform investment uncertainty and risks...

By Boryana Racheva-Iotova  |  Coronavirus  |  Risk, Performance, and Reporting

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April 27, 2020

How Market Volatility Affects Asset Class Behavior

In recent months, the market has seen a massive uptick in volatility. When just looking at the VIX, which is a measure of...

By Shane O'Brien  |  Coronavirus  |  Risk, Performance, and Reporting

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April 20, 2020

How a Multi-Factor Attribution Framework Can Provide a Deeper Insight Into the Sources of Relative Performance

Traditional performance analysis techniques such as benchmarking, peer grouping, and Brinson attribution have generally been used...

By Ravinder Dosanjh  |  Risk, Performance, and Reporting

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April 2, 2020

COVID-19 Risk Analysis

The crisis we are experiencing today is unlike any other. With the rapid global spread of the COVID-19 novel coronavirus, we are...

By Fabio Fais  |  Coronavirus  |  Risk, Performance, and Reporting

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Market Synopsis

Via FactSet StreetAccount

Drafted by financial analysts, our StreetAccount news service scans a variety of legitimate news sources to offer comprehensive coverage on global economies and markets. Get real-time curated news about the companies, industries, and markets you follow with StreetAccount.

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