Showing 21 - 30 of 100 entries
MSCI BlogBond ETFs and underlying price uncertainty
In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?
MSCI BlogCould coronavirus lead to default contagion in CLOs?
The market for collateralized loan obligations is under severe stress during the COVID-19 pandemic. We used MSCI’s loan and CLO models to assess a sample CLO’s loan-default risk characteristics. Could a wave of defaults harm CLOs?
MSCI BlogThe end of an era for the bond-equity relationship?
Stock and bond prices dropped together during the recent coronavirus sell-off, leading to fears that U.S. Treasurys were no longer the safe haven they had been in previous crises. Did it mark the end of an era of flight to quality?
MSCI BlogManaging risk-model uncertainty through a crisis
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.
MSCI Blog‘Nowcasting’ private equity in the coronavirus crisis
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.
MSCI BlogHow could coronavirus impact credit markets?
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?”
MSCI BlogAsset allocation and index futures during market crises
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.
MSCI BlogUpdating the MSCI Agency MBS model for the COVID-19 crisis
The COVID-19 pandemic has severely strained U.S. housing finance, distorting near-term prepayment speeds for mortgage-backed securities. With MBS in uncharted territory, we updated the MSCI Agency MBS Model to help investors during the crisis.
MSCI BlogHow coronavirus could hurt Chinese consumer ABS
The slowing Chinese economy and trade uncertainty had already put strains on the performance of Chinese consumer asset-backed securities. The COVID-19 pandemic could further harm the performance of these securities. Investors may wish to gauge the risks.
MSCI BlogWhat scenarios has the US equity market priced in?
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.