Research PaperMSCI Liquidity Risk Monitor
Introducing the MSCI Liquidity Risk Monitor, a new quarterly report that demonstrates the development of several liquidity risk indicators over the previous 12 months. This report helps you discuss and determine better strategies for your liquidity risk management, by providing information on recent indicators and trends, involving US and non-US corporate bonds and bank loans liquidity.
Oct 11, 2019
Support Site VideoLiquidityMetrics for RiskManager
Oct 9, 2013
Support Site VideoLiquidityMetrics Overview
Sep 19, 2013
Press ReleaseMSCI Launches New Platform to Measure Liquidity Risk Across Asset Classes
Sep 16, 2013
Research PaperResearch 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...
Jun 18, 2013
Research PaperResearch 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...
Jun 17, 2013