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Showing 1 - 10 of 12 entries

  1. BLOG

    Managing risk-model uncertainty through a crisis 

    Mar 27, 2020 Michael Hayes

    Risk Management

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    The impact on risk policy has been similar across market crises, as investors consider how to use their models in the new regime. We describe adaptive modeling for internal and external risk policy, and long-view backtesting to support decision-making.

  2. BLOG

    ‘Nowcasting’ private equity in the coronavirus crisis 

    Mar 26, 2020 Peter Shepard , Yang Liu

    Risk Management

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    What may be happening to the value of portfolios of private assets during the COVID-19 crisis? We used MSCI’s private-equity model, which integrates data on private assets from our partner Burgiss, to try to shed some light.

  3. BLOG

    How could coronavirus impact credit markets? 

    Mar 25, 2020 Thomas Verbraken , Juan Sampieri , Andy Sparks

    Risk Management , Fixed Income

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    While newspaper headlines are focused on volatile stock markets stemming from the COVID-19 pandemic, credit markets are not immune. Our latest stress test asks, “What would it mean for portfolios if losses reached 2008 levels?”

  4. BLOG

    Asset allocation and index futures during market crises 

    Mar 25, 2020 Zhen Wei , Shuo Xu , Wei Xu

    Emerging Markets , Global Investing , Risk Management

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    During market crises, institutional investors have employed derivatives contracts to hedge market risks or express views on certain performance/risk characteristics. We explore prior use of futures for exposure management and tactical asset allocation.

  5. BLOG

    Real estate is about more than location during uncertain times 

    Mar 18, 2020 Niel Harmse

    Real Estate Investing

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    With real estate now occupying a greater slice of multi-asset-class portfolios, factors such as lease length, may be more systematic drivers of return than previously thought. 

  6. BLOG

    What scenarios has the US equity market priced in? 

    Mar 13, 2020 Chenlu Zhou , Peter Shepard , Andrea Amato

    Risk Management

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    With the outbreak of the COVID-19 pandemic, the U.S. equity market turned sharply downward. We performed a reverse stress test considering various scenarios that potentially explain current valuations.

  7. BLOG

    Coronavirus and a potential MBS convexity whipsaw 

    Mar 6, 2020 Yihai Yu

    Risk Management

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    Amid rising fears that the human toll of coronavirus will have a significant impact on the global economy, investors have sought safety in Treasurys and driven yields to all-time lows. This rate rally has posed a hedging challenge for investors in mortgage-backed securities.

  8. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

    Factor Investing , Global Investing

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    Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

Showing 1 - 10 of 12 entries