Extended-lister
Showing 4951 - 4960 of 4,961 entries
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Methodology
MSCI Corporate Events MethodologyPDF
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Research Report
Model Insight - The Barra Europe Equity Model (EUE4) - April 2013This paper provides empirical results for the new Barra Europe Equity Model (EUE4), including details on factor structure, commentary on the performance of select factors, analysis of the explanatory power of the model, and an examination of the statistical significance of the factors. Furthermore, these notes include a side-by-side comparison of forecasting accuracy for EUE4 and EUE3.
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Methodology
MSCI Corporate Events Methodology (January 2021)PDF
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Methodology
MSCI Corporate Events MethodologyPDF
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Methodology
MSCI Corporate Events MethodologyPDF
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Methodology
MSCI Corporate Events MethodologyPDF
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Research Report
A Prepayment Model for the Danish MBB MarketWe developed an Implied Prepayment model to calculate spread values and effective Durations for Danish Mortgage Backed Bonds (MBB). By using an implied prepayment model, constructed by fitting a generic functional form to market prices of liquid Danish MBB, we take the market price of prepayment risk into account and produce consistent results. Since only current pricing data are used as a model input this approach does not require access to a historical database of prepayment data. This will...
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Research Report
Summer 2006Equity Risk Modeling: A Comparison of Factor ModelsExplaining Default Swap VariationA Prepayment Model for the Danish MBB MarketDynamic Volatility and Its Implications for Portfolio Management
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Research Report
Exploring Default Swap Spread VariationWe assess the effectiveness of the Barra Default Probability (BDP) model in explaining the cross-sectional variation of Credit Default Spreads. In order to establish the usefulness of the BDP model in forecasting real-world defaults, we test it against historical default experience. We find that the model shows good default discriminatory power relative to agency ratings.
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Research Report
Factor Models and Fundamentalism, MSCI Barra Newsletter, Summer 2006Guy Miller compares Fundamental, Statistical, and 'Hybrid' Equity Factor Risk models. He discusses when the different types work best and when they are likely to fail in risk management and portfolio construction. When statistical factors are used to extend a fundamental factor model, we see modest improvements in risk forecasting. The improvement in portfolio optimization seems even slighter and should be applied only with caution