Showing 1 - 10 of 77 entries
MSCI BlogManaging risk-model uncertainty through a crisis
The 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.
MSCI Blog‘Nowcasting’ private equity in the coronavirus crisis
What 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.
MSCI BlogHow 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?”
MSCI BlogAsset allocation and index futures during market crises
During 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.
MSCI BlogUpdating the MSCI Agency MBS model for the COVID-19 crisis
The COVID-19 pandemic has severely strained U.S. housing finance, distorting near-term prepayment speeds for mortgage-backed securities. With MBS in uncharted territory, we updated the MSCI Agency MBS Model to help investors during the crisis.
MSCI BlogHow coronavirus could hurt Chinese consumer ABS
The slowing Chinese economy and trade uncertainty had already put strains on the performance of Chinese consumer asset-backed securities. The COVID-19 pandemic could further harm the performance of these securities. Investors may wish to gauge the risks.
MSCI BlogWhat 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.
MSCI BlogCoronavirus 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).
MSCI BlogHave 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?
MSCI BlogCoronavirus and a potential MBS convexity whipsaw
Amid 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.