A risk radar model has been recently developed to identify multi-dimensional market risk, including ten risk factors: 1) Market Volatility; 2) Gold Favor; 3) Term Spread; 4) Yen Carry Trade; 5) Credit Spread; 6) Emerging Market Bond Spread; 7) FX Volatility (EUR,JPY,CHF,GBP,AUD); 8) Market Sentiment; 9) Market Liquidity; 10) Quality Nervousness. All variables are nomalized to derive the Z-score on a continous120-day rolling basis.
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