Extended-lister
Showing 4201 - 4210 of 5,737 entries
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - July 2013The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
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Research Report
MSCI Risk Monitor - RiskMetrics Global - January 2016Under 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
MSCI Risk Monitor: RiskMetrics® Global - April 2016Under 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.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - November 2013The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - September 2013The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - October 2013The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - May 2015
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Research Report
A Long Hot SummerPairwise correlations have increased to historic highs since the beginning of August. This increase coincides with a historic spike in the importance of market volatility (captured by the Country factor in the new Barra US Equity Model (USE4)) relative to the volatility of other factors like styles and industries. Intuitively, this relationship makes sense since all stocks are exposed to the market. What this has meant for portfolio managers is a marked increase in total or absolute risk but...
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Research Report
Post-Earthquake Japan Equity UpdateThis paper looks through the lens of the Barra Japan Equity model (JPE3) to analyze how the Japan equity market reacted to the recent earthquake on March 11. We also review the Japan equity market just after Kobe Earthquake in 1995, and see if there are similarities or differences in the behavior of Japanese stocks after these two events from a style and industry perspective. Given the sharp appreciation of the yen after the recent earthquake, we considered the differences in yen sensitivity...
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Research Report
Liquidity Risk Reporting Service for UCITS FundsMSCI has developed a Liquidity Risk Reporting Service that aims to help UCITS funds address the regulatory risk management and reporting requirements prescribed by the European Securities and Markets Authority (ESMA). Return to main page on LiquidityMetrics