Extended-lister
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MSCI Blog
Chinese High-Yield Corporate Bonds Under PressureBonds from Chinese property developers have come under severe distress, and the latest wave of COVID-19 lockdowns have had a heavy impact on China’s economy. How has the country’s corporate-bond market responded?
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MSCI Blog
Low Carbon 𝙖𝙣𝙙 High Liquidity for Bond Investors?As corporate-bond investors embrace decarbonization as a goal in portfolio construction and management and benchmark selection, the question arises whether decarbonization targets are at odds with other desirable index attributes, such as liquidity.
ESG Ratings ESG Climate VaR LiquidityMetrics ESG Climate Solutions
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MSCI Blog
Sanctions Bring a New Form of Russian-Bond CDS RiskSanctions on Russia have not affected credit-default swaps directly, but the settlement process following a default would rely on delivering and auctioning the sanctioned bonds. We examine this new form of recovery risk.
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Research Paper
MSCI Liquidity Risk MonitorMSCI 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
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Research Paper
LiquidityMetrics Model ValidationLiquidityMetrics 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
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Support Site Video
LiquidityMetrics for RiskManagerRisk Management Analytics LiquidityMetrics
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Support Site Video
LiquidityMetrics OverviewRisk Management Analytics LiquidityMetrics
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Press Release
MSCI Launches New Platform to Measure Liquidity Risk Across Asset ClassesPDFRisk Management Analytics RiskMetrics RiskManager LiquidityMetrics
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Research Paper
Research Insight - Case Study on Managing Portfolio Liquidity Costs - June 2013Rebalancing 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
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Research Paper
Intro to LiquidityMetricsThis 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