Emerging/Frontier Markets Currency Crisis Research

Eaton Vance Example Project 

Emerging Markets Debt Manager in Boston 

Company Description 

 Eaton Vance is a leading global asset manager whose history dates to 1924. With offices in North America, Europe, Asia and Australia, Eaton Vance and its affiliates offer individuals and institutions a broad array of investment strategies and wealth management solutions.  The Global Income Department manages $19 billion, specializing in emerging and frontier markets investing primarily focused on fixed income and currencies.  Various physical and derivative asset types are utilized to implement a number of strategies including global macro, currency, and emerging market debt.  These strategies are executed in a variety of structures such as mutual funds, UCITS, and a hedge fund.

Project Description: Contagion Risk and Country Interconnections

The Global Income Department invests in emerging and frontier markets, taking both long and short positions.  One factor that we routinely have to assess are cross country relationships and whether they are persistent.  These relationships help inform the long/short positions we take.  They also inform our assessment of risk that any individual position may have to other countries.  Borders focus on geographical connections, but economic connections are even more important.  The project objective is to research and build a model which helps identify country connections and contagion risks.  The team will identify historical crises and perform a literature search of key factors that indicate relationships between countries (economic, financial, etc).  They will then build a model of relationships, trends in relationships and contagion risk indicators.  

The team will work under the guidance of the Director and Associate Director of the Global Income Portfolio Analysis Team and draw upon other members of the Global team as needed.  The group will have periodic meetings in our offices as well as space to allow for on-site work and discussions.  The team should consist of people who are interested in global macro-economics, markets, and data analysis.  Programming experience will be required for data analysis and model-building.

Deliverables

  • Presentation to Portfolio Management team describing the model and what factors are critical to prediction.
  • A paper describing variables considered, factors that were created, models that were considered, the final model, as well as possible future enhancements that we could pursue. 
  • Code that runs a model which provides current assessment for country relationships, risk, and the source which drives the linkage.