EPISODE · Jan 5, 2023 · 28 MIN
Quant Modeling: Macro Matters
from FICC Focus · host Bloomberg Intelligence
Quantitative modeling is an ever growing component of financial analysis, with most investors using some form of it within their investment processes. In this Macro Matters edition of the FICC Focus Podcast, Bloomberg Intelligence Chief US Interest Rate Strategist Ira Jersey is joined by Vera Tian and Alex Montiel, Bloomberg Data Scientists working with the BI FICC research team. Tian discusses how she developed the BI Rates model for two-year inflation swaps and the work she’s doing on equity-derivative markets. Her work allows investors to determine how much the market is long or short gamma, giving a clue to potential market moves. Montiel describes the process for building the BI Rates Federal Reserve sentiment model and iterations thereof. He and Jersey note that data availability are important. Montiel also previews a fair-value model of the Treasury yield curve. In a new segment of the podcast, “Interest Rate Intro,” US Interest Rate Associate Strategist Will Hoffman asks Jersey about the repurchase agreement market — what is it, how does it work and why is it important?
What this episode covers
Quantitative modeling is an ever growing component of financial analysis, with most investors using some form of it within their investment processes. In this Macro Matters edition of the FICC Focus Podcast, Bloomberg Intelligence Chief US Interest Rate Strategist Ira Jersey is joined by Vera Tian and Alex Montiel, Bloomberg Data Scientists working with the BI FICC research team. Tian discusses how she developed the BI Rates model for two-year inflation swaps and the work she’s doing on equity-derivative markets. Her work allows investors to determine how much the market is long or short gamma, giving a clue to potential market moves. Montiel describes the process for building the BI Rates Federal Reserve sentiment model and iterations thereof. He and Jersey note that data availability are important. Montiel also previews a fair-value model of the Treasury yield curve. In a new segment of the podcast, “Interest Rate Intro,” US Interest Rate Associate Strategist Will Hoffman asks Jersey about the repurchase agreement market — what is it, how does it work and why is it important?
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Quant Modeling: Macro Matters
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