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MSCI’s Analytics products offer institutional investors an integrated view of risk and return. Our research-enhanced content and tools help institutional investors make better investment decisions, enhancing their understanding and analysis of market, credit, liquidity and counterparty risk across all major asset classes, spanning short, medium and long-term time horizons.

MSCI’s industry-leading analytics include: Barra multi-factor models; pricing models; methodologies for performance attribution; RiskMetrics models for statistical analysis, such as VaR; and tools for security analysis, portfolio optimization, back testing and stress testing.

Our flexible technology is built for scale, enabling clients to conduct complex simulations and stress tests.

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Seeing credit risk more clearly

MSCI’s Integrated Market and Credit Risk Model combines our long-term horizon market risk modeling engine with the well-established CreditMetrics portfolio credit risk model. Our model jointly simulates market risk factors and individual default events via default risk drivers. The simulation yields consistent scenarios, accounting for profit and loss arising from cash flows, aging, market movements and defaults of individual entities with full repricing of positions. As a result, the model can deliver risk insights under a broader set of conditions and across credit qualities without making assumptions regarding the dominance or independence of any of the risk types.

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