Integrated Risk Management

Our Analytics research aims to provide new understanding for investors on how markets, asset classes and individual securities may be linked from a risk perspective. From cutting-edge models for traditional and alternative asset classes to understanding how macroeconomic factors affect asset prices to stress testing scenarios with robust single security coverage, we examine risk for clients' entire portfolios and across investment horizons.




fEATURED research papers and Blog posts

Santander’s coco extension: The new market norm?

Blog Post: When Banco Santander announced it would extend its additional-tier-one contingent-convertible (coco) bond issuance, the media depicted the event as upending banks’ practice of calling bonds on their first call date. But despite the media reaction, markets did not seem altogether surprised.

The risk in risk-parity strategies

Blog Post: What has happened to a portfolio’s risk profile when the bond-equity correlation turned strongly positive? Our analysis suggests the answer may be especially important to investors who employ a risk-parity approach to portfolio construction.


Blog Post: Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending. But based on MSCI’s new U.S. auto-loan model, under current conditions, we think monthly default rates (MDR) are likely to stay flat in the near term and potentially even decrease if used-vehicle prices rise.

Backtesting Year in Review: A Look at 2018

Research Paper: In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of portfolios representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil-price dynamics and high-yield credit markets.


Blog Post: Potential changes in U.S. mortgage policy and possible long-term industry trends may affect mortgage-related fees and rate spreads. These changes could, in turn, influence the direction and level of the primary mortgage rate, substantially impact prepayment risk in mortgage-backed securities (MBS) and create hedging challenges for MBS investors.

CDS hedging: exploring all the options

Blog Post: Credit-default swaps have previously offered a cost-effective means to make short-term hedges or bets on an individual issuer’s credit. However, since 2014, trading in these derivative products has been concentrated in members of basket CDS indexes, such as CDX and iTraxx. Credit investors may want to explore the full spectrum of risk mitigation options available.


Institutional investors may be scratching their heads at why the widely watched measure of market concern known colloquially as the “fear index,” or VIX, recently reached a 23-year low despite plenty of reasons for the sort of uncertainty that makes markets jittery.

What is the future of the ECB’s corporate bond program?

With average purchases of €7.8 billion ($8.7 billion) per month, the European Central Bank’s corporate bond buying program (CSPP) has become a major driver in the market.

Why Brexit and Economic Exposure Matters

The performance of markets post-Brexit highlights the importance of capturing how companies across different industries are exposed to economic activity beyond their domestic borders.