Extended-lister
Showing 3921 - 3930 of 5,151 entries
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Research Report
Stress Testing a China Hard Landing in RiskManagerThis document describes how we can implement the stress test proposed in “Stress Testing a China Hard Landing”. This stress test is built up in three layers. At the base are a set of predictive stress tests (PST). These are applied individually to specific risk types through the machinery of ‘By Risk Type’ stress test. Finally, a user‐defined statistic is used to allow different interest rate shocks to the Developed and Emerging Market interest rates. In the following sections we discuss in...
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Research Report
The Specified Pool Analytics Feature in RiskManagerThis Technical Note introduces the Specified Pool Analytics feature, and its tuning methodology used by the Agency Mortgage-Backed Securities collateral model in RiskManager. This new feature takes into account the so-called loan properties, such as original loan size, loan-to-value, FICO score, geographic distribution, property type, loan purpose, and occupancy, to improve the prepayment speed forecasts for specified mortgage pools. The Specified Pool Analytics Tuning methodology is applied...
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Research Report
MSCI Risk Monitor - RiskMetrics Global - December 2015Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Market Insight - Risk Models for Capital and Margin - March 2013Recent regulatory publications indicate a need for risk sensitivity for both capital and margin requirements. Risk sensitivity calls for risk models, but the successful application of these for regulatory purposes has been a challenge for the industry. We suggest the adoption of a common framework of risk standards as a mechanism to help ensure the success of risk sensitive regulatory standards.
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Research Report
Options for Choosing Risk Aversion in Active Portfolio Construction - A Practical ApproachThe concept of risk aversion is one of the four main ingredients in modern active portfolio construction theory. Risk aversion represents the amount of return required by an investor for an extra unit of risk and thus the tradeoff between risk and return. In other words, risk aversion states in which portfolio on the efficient frontier the portfolio manager is interested in.
Portfolio Management Analytics
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Press Release
MSCI Announces Latest Factor Innovation; MSCI Multi-Asset Class Factor ModelPDF
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Research Report
Incorporating Sector Investing in Portfolio Management
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Research Report
Net-Zero Alignment: Managing Portfolio Risk Along the Net-Zero Journey
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Research Report
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
Portfolio Management Analytics
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Research Report
Finding the Investment Management ‘One Analytics View’