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Barra Risk Model Handbook - RoyCheng

HandbookBarra Risk ModelBarra Risk ModelCopyright 2004 Barra , Inc and/or its subsidiaries and affiliates ( Barra ). All rights reserved. This publication shall be used only in accordance with the terms ofyour license agreement with Barra , but in any event, only for your internal business use. This publication is the confidential and proprietary property of Barra . Nopart of this publication may be reproduced, transmitted, or distributed in any form by any means (electronic, photocopying or otherwise) without the prior writtenconsent of Barra . Barra is a registered trademark, and other Barra product names, service names, slogans or logos referenced in this publication are trademarks,servicemarks, registered trademarks or registered servicemarks of Barra , Inc.

Contents iii 6. Spread Risk Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71 Swap Spread Risk Model ...

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