Extended-lister
Showing 1 - 10 of 77 entries
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MSCI Blog
Managing risk-model uncertainty through a crisisThe impact on risk policy has been similar across market crises, as investors consider how to use their models in the new regime. We describe adaptive modeling for internal and external risk policy, and long-view backtesting to support decision-making.
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MSCI Blog
‘Nowcasting’ private equity in the coronavirus crisisWhat may be happening to the value of portfolios of private assets during the COVID-19 crisis? We used MSCI’s private-equity model, which integrates data on private assets from our partner Burgiss, to try to shed some light.
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MSCI Blog
How could coronavirus impact credit markets?While newspaper headlines are focused on volatile stock markets stemming from the COVID-19 pandemic, credit markets are not immune. Our latest stress test asks, “What would it mean for portfolios if losses reached 2008 levels?”
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MSCI Blog
Asset allocation and index futures during market crisesDuring market crises, institutional investors have employed derivatives contracts to hedge market risks or express views on certain performance/risk characteristics. We explore prior use of futures for exposure management and tactical asset allocation.
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MSCI Blog
Updating the MSCI Agency MBS model for the COVID-19 crisis
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MSCI Blog
How coronavirus could hurt Chinese consumer ABS
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MSCI Blog
What scenarios has the US equity market priced in?With the outbreak of the COVID-19 pandemic, the U.S. equity market turned sharply downward. We performed a reverse stress test considering various scenarios that potentially explain current valuations.
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MSCI Blog
Coronavirus and oil hit equities — how low can we go?We compare the market turmoil sparked by the coronavirus pandemic with levels of volatility, drawdown and recovery after 9/11 and the global financial crisis (the two other similarly severe economic and market shocks of the last 20 years).
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MSCI Blog
Have corporate green bonds offered lower yields?Green bonds tended to offer lower yields than comparable non-green corporate bonds. What could explain green bonds’ lower yields? And is there any relationship between green-bond issuers’ environmental scores and bond yields?
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MSCI Blog
Coronavirus and a potential MBS convexity whipsawAmid rising fears that the human toll of coronavirus will have a significant impact on the global economy, investors have sought safety in Treasurys and driven yields to all-time lows. This rate rally has posed a hedging challenge for investors in mortgage-backed securities.