SSgA looks to credit volatility

Risk staff
01 Dec 2003

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Boston-based State Street Global Advisors (SSgA) has around $30 billion invested in US Treasuries. And now it wants to be the first major asset manager to put in place a Garch trading model to take bets on US Treasury market volatility – a change in its quantitative modelling that the firm wants to make next year.

“I’m not aware of any other fund manager using a model like ours,” says Mark Hooker, principal at SSgA and head of its advanced research centre in London, a stand-alone unit dedicated

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