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Showing 1 - 10 of 66 entries

  1. BLOG

    Navigating market volatility with agency MBS models 

    Feb 26, 2020 David Zhang

    Fixed Income , Risk Management

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    We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

  2. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Zhen Wei , Jun Wang , Thomas Verbraken

    Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

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    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

  3. BLOG

    Trade deal broadened access to China’s nonperforming loans 

    Jan 29, 2020 Jian Chen , Yini Yang

    Risk Management , Fixed Income , Global Investing , Emerging Markets

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    The phase-one U.S.-China trade deal lets U.S. asset managers acquire nonperforming loans directly from Chinese banks. We assess the market’s characteristics, as investors face challenges estimating recovery rates and liquidation timing of these loans.

  4. BLOG

    Synthetic CDOs: Back in vogue but not without risk 

    Dec 13, 2019 Gabor Almasi

    Fixed Income , Risk Management

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    As credit spreads have gradually declined, investors have increasingly been focusing their attention on more complex instruments including synthetic Collateralized Debt Obligations in the search for yield. However, the risks of these investments — including the senior tranches — should not be overlooked.

  5. BLOG

    Looking to the futures of emerging markets 

    Dec 11, 2019 Hitendra D Varsani

    Global Investing , Risk Management , Economic Exposure , Emerging Markets

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    Emerging-market (EM) equities have delivered unique risk and return characteristics over the last 30 years. Are futures on EM stocks a liquid enough means to gain exposure during normal and stressed conditions?

  6. BLOG

    Has global sovereign rates momentum headed in reverse? 

    Dec 6, 2019 Andrew DeMond

    Risk Management , Fixed Income

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    Momentum can be an important factor in sovereign-rates markets. But investors concerned with exposures to short-term rate movements in global bond markets may wish to ask themselves whether the trend is indeed their friend.

  7. BLOG

    Are EU corporate bonds all alike? 

    Nov 27, 2019 Hamed Faquiryan

    Economic Exposure , Fixed Income , Risk Management

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    The integration of the eurozone’s economy may tempt investors to view corporate debt issued by European companies as undifferentiated. On average, this view has seemed correct — but not always durings times of market stress.

Showing 1 - 10 of 66 entries