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Showing 41 - 46 of 46 entries

  1. BLOG

    STRESS TESTING A CHINA HARD LANDING 

    Oct 22, 2015 Carlo Acerbi

    Integrated Risk Management

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    The decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant. In particular, the 8.5% market plunge on August 24 spread fear into global markets that continues to this time.

  2. BLOG

    MULTI-ASSET CLASS RISK: SEEING THE FOREST AND THE TREES 

    Oct 1, 2015 Peter Shepard

    Integrated Risk Management

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    As investors shift toward global, multi-asset class strategies from narrower mandates, the number of dimensions to manage is rapidly increasing. This complexity requires seeing both the forest and the trees. Investors need a multi-asset class view of the markets, but they also need to understand the unique drivers of risk and return within each market.

  3. BLOG

    BACKTESTING RISK MODELS: WHAT WE LEARNED 

    Aug 27, 2015 Carlo Acerbi

    Integrated Risk Management

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    Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk of a portfolio. But different risk models may work better than others for different asset classes and in varying time horizons. The MSCI Model Scorecard provides an innovative tool designed to help select the best risk model in terms of Expected Shortfall (ES) and Value at Risk (VaR) predictivity.

  4. BLOG

    INTEGRATED FIXED-INCOME RISK AND PERFORMANCE ANALYSIS 

    May 27, 2015 Andy Sparks

    Integrated Risk Management

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    Asset managers look at both risk and return in their portfolios. However, it is not always so easy to report and analyze risk and performance attribution on the same platform and along the same dimensions. This type of integrated ex‐ante and ex-post analysis can be carried out in BarraOne, MSCI’s multi‐asset class, multi‐currency, risk and performance analysis platform.

  5. BLOG

    Measuring Liquidity Risk 

    Apr 23, 2015 Carlo Acerbi

    Integrated Risk Management

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    After the global financial crisis of 2008, investors and regulators realized that liquidity risk in multi-asset class portfolios could no longer be overlooked. Too many risk models had assumed ample funding and low trading costs, which contributed to the meltdown.

  6. BLOG

    BACKTESTING EXPECTED SHORTFALL 

    Mar 17, 2015 Carlo Acerbi

    Integrated Risk Management

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    When RiskMetrics, now a part of MSCI, announced Value-at-Risk (VaR) as its stated measure of risk in 1996, it initiated an industry standard for institutional risk management that was quickly adopted by the Basel Committee on Banking Supervision for its internal capital adequacy models.

Showing 41 - 46 of 46 entries