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Making Risk Additive: The Alpha and Beta of Risk Attribution and Risk Delta
Institutional investors face the challenge of understanding changes in risk. Did a recent increase in risk come from a shift into more aggressive positions, a spike in market volatility, or a loss of diversification? Which of the institutional investor's positions or managers drove the change? Which parts of the market became more risky?
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The Stochastic, Alpha, Beta, Rho (SABR) Volatility Model
The Stochastic, Alpha, Beta, Rho (SABR) volatility model provides clients with a more precise view of risk decomposition of European Swaptions and Caps/Floors by capturing the dynamics of the volatility skew/smile as interest rates change. Previously, our Swaptions and Caps/Floors models allowed use of At the Money (ATM) volatility surfaces. The SABR volatility model calibrates to a richer data set that provides skew information.
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FEA Integration Enables Rapid Pricing Model Rollout on RiskMetrics Platform
RiskMetrics has recently introduced several new instruments based upon the FEA analytical library. The incorporation of FEA pricing analytics into the RiskMetrics flagship suite of risk management analytics represents a technical leap which will enable RiskMetrics clients to benefit from a much broader coverage of exotic derivatives.
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Enhanced Municipal Bond Coverage & Views of Risk Across Multi-Asset Class Portfolios in BarraOne
The recent BarraOne release, version 3.5.1, introduces a number of data, reporting and analytical enhancements that extend the ability for users to view and aggregate risks across multiple dimensions.
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MSCI Comments on Proposed US Banking Regulation
In December 2011, the US banking regulators issued a Notice of Proposed Rulemaking related to the rules setting minimum capital levels that banks are required to hold against corporate, sovereign and securitization positions, in compliance with the requirement that such regulations no longer refer to credit ratings. MSCI researchers submitted comments on the proposal on February 3, 2012.
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Private Real Estate Model
Private Real Estate models for the US and UK are now included in BarraOne. The new models consist of property type-by-region factors based on standard index classifications, specific for the two markets. The new models enable plan sponsors to model their private real estate holdings in the same framework as their public market holdings for total plan risk, and capture the correlation between private real estate investments and other publically traded investments.
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European Sovereign CDS Correlation
Sovereign Contagion
For the past two years European sovereign risk has been largely focused on Greece, Portugal, Ireland, Spain and Italy. However, concern is now rising that France along other European countries may soon be impacted. To assess these market trends, RiskManager users can run correlation analysis on sovereign CDS spreads over different time periods. They can then reference these correlation periods in their risk settings or stress tests to incorporate the latest market information in their sovereign risk analysis.Continue reading European Sovereign CDS Correlation
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New Basket Look-Through in RiskMetrics RiskManager 4
In the first calendar quarter of 2012, MSCI will introduce look-through functionality in RiskManager 4 for instruments linked to a basket of assets, such as an ETF, a Mutual Fund, Equity Index Future, or a custom basket. The look-through feature offers clients the ability to decompose these instruments into their underlying securities, and to allocate/aggregate risk along the desired reporting dimensions.
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Doctors Pension Funds Services selects MSCI's BarraOne
Doctors Pension Funds Services (DPFS) is the fiduciary manager for the Dutch Pension Fund "Stichting Pensioenfonds voor Huisartsen" (SPH), the pension fund for the general practitioners in the Netherlands. DPFS manages EUR 7.1 BLN (USD 10 BLN) for approximately 16.500 participants in SPH. DPFS has a strong commitment to their clients and participants. After a rigorous evaluation process, they selected MSCI's BarraOne for their internal and external market-risk needs.
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Managed Services for Flexible Reporting Services
Managed Services provides a range of cost effective services to support various MSCI analytics products.
Find out how a large asset management client used Managed Services to satisfy their increased reporting needs.
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