Extended-lister
Showing 3921 - 3930 of 4,784 entries
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Research Report
MSCI Risk Monitor - RiskMetrics Global - May 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - December 2013The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - January 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Stress-Testing in RiskManager: Contemplating a Eurozone Breakup - February 2012Since the beginning of the Eurozone crisis in 2009, it is apparent that structural issues persist, particularly in the European peripheral economies. Stress testing plays a pivotal role in the risk management process. This paper shows how a well-specified scenario can be used to understand and mitigate contagion effects resulting from a hypothetical sovereign default in Greece, Spain or Italy. Global asset and factor representative portfolios are stressed to reflect the impact of default on...
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Research Report
MSCI Risk Monitor - RiskMetrics Global - April 2013The monthly MSCI Risk Monitor: RiskMetrics US report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
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Research Report
Is Your Risk Model Letting Your Optimized Portfolio Down?Many portfolio managers use multi-factor models, but not all factor models are equally effective in forecasting risk. Flawed model construction can result in optimized portfolios that are not efficient. This paper addresses the concern of portfolio managers that some risk models used in optimization may not be forecasting risk accurately, or may be creating suboptimal portfolios. We review pitfalls in portfolio construction and explain how MSCI’s best practices in model building are...
Portfolio Management Analytics
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Research Report
MSCI Risk Monitor - RiskMetrics - March 2013The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk...
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Research Report
MSCI Risk Monitor - China Equities - April 2013This monthly MSCI Risk Monitor: China Equities report examines Chinese equity market risk and return through the lens of the Barra China Equity Model (CNE5). The report provides insights into market developments in the Chinese market using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor and asset performance over the last month.
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Research Report
MSCI Risk Monitor - RiskMetrics - November 2012The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk...
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Research Report
MSCI Risk Monitor - RiskMetrics - January 2013The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk...