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  1. Research Paper
    LiquidityMetrics Model Validation

    LiquidityMetrics 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

  2. Research Paper
    MSCI Liquidity Risk Monitor

    MSCI Liquidity Risk Monitor is MSCI’s quarterly report that presents liquidity risk indicators over the previous 12 months. This report facilitates discussion and determination of better strategies for liquidity risk management, by providing information on recent indicators and trends, involving U.S. and non-U.S. corporate bonds and bank loans liquidity.

    Risk Management Analytics LiquidityMetrics

  3. Support Site Video
    LiquidityMetrics for RiskManager

    Risk Management Analytics LiquidityMetrics

  4. Support Site Video
    LiquidityMetrics Overview

    Risk Management Analytics LiquidityMetrics

  5. Press Release
    MSCI Launches New Platform to Measure Liquidity Risk Across Asset Classes
    PDF

    Risk Management Analytics RiskMetrics RiskManager LiquidityMetrics

  6. Research Paper
    Research Insight - Case Study on Managing Portfolio Liquidity Costs - June 2013

    Rebalancing a passive portfolio can be costly.  A simple way to minimize costs is to place constraints on turnover, but this approach overlooks differences in liquidity across securities. In this case study, we demonstrate the effect of liquidity information on trading. We develop a hypothetical portfolio following an EMU sovereign bond benchmark and present a selection of rebalancing strategies, each incorporating a different degree of liquidity information.  Our example...

    Risk Management Analytics LiquidityMetrics

  7. Research Paper
    Research Insight - Intro to LiquidityMetrics - June 2013

    This Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in...

    Risk Management Analytics LiquidityMetrics

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