Extended-lister
Showing 71 - 80 of 504 entries
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Research Report
LiquidityMetrics Model ValidationLiquidityMetrics provides an analytical framework for liquidity risk management and regulatory reporting. This paper provides validation results for fixed-income securities through the lens of observed transaction costs. The validation period covers the relatively calm markets in 2019, as well as the onset and recovery from the COVID-19 crisis in 2020.
Risk Management Analytics LiquidityMetrics
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Research Report
Rank-Based Error Tracking for Agency MBS Prepayment ModelsModel testing, also called error tracking, is a key requirement for collateral behavior forecasting models in securitized products. The high dimensionality and statistical noise associated with agency mortgage-backed securities prepayment behavior makes error tracking a complex task. The traditional method focuses on a single dimension, and does not provide a clear measure of model accuracy and effectiveness. A rank-based error-tracking methodology provides an efficient and comprehensive...
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Research Report
MSCI Two-factor Interest Rate ModelThis paper describes the MSCI Two-factor Interest Rate Model. The future cash flow of Mortgage-Backed Securities (MBS) is uncertain due to the embedded prepayment options. The typical MBS valuation relies on Option-Adjusted Spread (OAS) framework to price these prepayment options, which are a series of derivatives of interest rates across multiple tenors. A stochastic term structure model is subsequently needed with a reference curve and a volatility surface, which generates distributions of...
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Research Report
Backtesting Private Asset ModelsMSCI’s Barra Private Real Estate Model (PRE2), Barra Private Equity Model (PEQ2) and MSCI Private Infrastructure Model (PIN1) have advanced the understanding of investments in global private assets. Private assets were once considered low-risk investments uncorrelated with most public assets due to the smoothness in private asset valuations. With innovative statistical methodology, the MSCI private asset models reveal the intrinsic risk in private assets, show large exposures to systematic...
Portfolio Management Analytics Risk Management Analytics
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Research Report
Looking for a Better HedgePeer selection and understanding relationships between companies play a pivotal role in many areas of finance. Previously, we described a methodology for quantifying the similarity between every pair of companies from the text of their business descriptions in 10-K filings, fundamentals, news mentions and return correlations. We showed how the resulting similarity score matrix could be used to identify pairs or groups of similar companies (peers), which have numerous potential applications....
Portfolio Management Analytics Risk Management Analytics
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Research Report
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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Research Report
MSCI Agency Credit Risk Transfer (CRT) ModelsThe Credit Risk Transfer (CRT) programs from Fannie Mae and Freddie Mac aim to shift mortgage credit risk from the Enterprises to private investors, with cumulatively $2.8 trillion loans covered so far. To facilitate these capital market transactions since 2013, the Enterprises have disclosed about 20 years of monthly credit performance data on almost 50 million loans, with a detailed voluntary prepayment history, delinquency and foreclosure status data, as well as an actual loss breakdown....
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Research Report
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 Report
A consumer sentiment factor from web contentThe explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
Factors’ active role in portfolio constructionAs important systematic sources of risk and return, factors play a vital role in building, maintaining and measuring actively managed equity portfolios. Investors and technology continue to grow more sophisticated, which has given rise to new ways of gathering, sorting and analyzing information — and new investment approaches. A factor-based approach can provide deeper insight into funds and individual securities. Research by MSCI and others has continued to show that factors have been...
Portfolio Management Analytics Risk Management Analytics