Extended-lister
Showing 1 - 10 of 301 entries
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MSCI Event
Implementing ESMA’s liquidity stress testing requirementsPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI Annual Global Investing Conference and WorkshopsESG Products & Services Indexes Portfolio Management Analytics Risk Management Analytics Real Estate Products & Services
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Research Paper
Factors and corporate bonds: Single- and multi-factor approaches to corporate creditInvestors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality,...
Indexes Portfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI Equity Analytics Workshop - ZurichPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI Equity Analytics Workshop - LondonRisk Management Analytics Portfolio Management Analytics
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MSCI Event
MSCI Equity Analytics Workshop - ParisPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI Equity Analytics Workshop - AmsterdamPortfolio Management Analytics Risk Management Analytics
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Research Paper
Selected geographic issues in the global listed equity marketOver the last few decades, increasing global economic and financial integration promoted economic development and enabled investors to seek opportunities and spread risks across national borders. This report, which was commission by the Norwegian Ministry of Finance, examines diversification opportunities including the importance of emerging markets; how a handful of large technology companies accounted for a significant percentage of recent developed-market performance and omitting...
Indexes Portfolio Management Analytics
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Research Paper
Agency MBS Prepayment Model Using Neural NetworksMortgage-backed securities make up a huge portion of the U.S. financial system. Mortgage prepayment modeling is essential in MBS investment and risk analysis. It is also among the most complex areas of financial modeling, because of the vast data volume and large number of risk factors. Does an AI-based model using neural networks have an advantage over traditional models in taking on the complexities of MBS prepayment risk?
Portfolio Management Analytics Risk Management Analytics
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Research Paper
Measuring factor exposuresAccurately estimating factor exposures for stocks and portfolios can be economically relevant and may improve the investment process for a variety of investors, including asset owners, quantitative managers, wealth managers and risk managers. Methods for measuring exposures vary, however. We provide a comparative analysis of two such techniques — one based on time-series regression models, the other on observable firm characteristics.
Indexes Portfolio Management Analytics