Extended-lister
Showing 1 - 10 of 441 entries
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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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MSCI Event
MSCI & Burgiss - Assessing Private Equity Investments Effectively
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Research Paper
Rank-Based Error Tracking for Agency MBS Prepayment ModelsModel testing, also called error tracking, is a key requirement for collateral behavior forecasting models in securitized products. The high dimensionality and statistical noise associated with agency mortgage-backed securities prepayment behavior makes error tracking a complex task. The traditional method focuses on a single dimension, and does not provide a clear measure of model accuracy and effectiveness. A rank-based error-tracking methodology provides an efficient and comprehensive...
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Research Paper
MSCI Liquidity Risk Monitor Special ReportDuring this unprecedented time, we are observing severe spikes in liquidity parameters. In order to keep you informed, we have created the MSCI Liquidity Risk Monitor Special Report, a weekly interim report, demonstrating the behavior of several liquidity risk indicators during the global COVID-19 crisis. Use this report to view movement of key liquidity indicators, as well as to communicate these trends with your internal and external stakeholders.
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MSCI Event
MSCI in Practice - Modeling Agency MBS risk in MSCI RiskManagerPortfolio Management Analytics Risk Management Analytics
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Research Paper
MSCI Two-factor Interest Rate ModelThis paper describes the MSCI Two-factor Interest Rate Model. The future cash flow of Mortgage-Backed Securities (MBS) is uncertain due to the embedded prepayment options. The typical MBS valuation relies on Option-Adjusted Spread (OAS) framework to price these prepayment options, which are a series of derivatives of interest rates across multiple tenors. A stochastic term structure model is subsequently needed with a reference curve and a volatility surface, which generates distributions of...
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Research Paper
Backtesting Private Asset ModelsMSCI’s Barra Private Real Estate Model (PRE2) and Barra Private Equity Model (PEQ2) have advanced the understanding of investments in global private assets. Private assets were once considered low-risk investments uncorrelated with most public assets due to the smoothness in private asset valuations. With innovative statistical methodology, the MSCI private asset models reveal the intrinsic risk in private assets, show large exposures to systematic risk factors driving public assets and...
Portfolio Management Analytics Risk Management Analytics
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MSCI Event
Are you the disruptor or the disrupted?ESG Products & Services Indexes Portfolio Management Analytics Risk Management Analytics Real Estate Products & Services
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Research Paper
Looking for a better hedgePeer selection and understanding relationships between companies play a pivotal role in many areas of finance. Previously, we described a methodology for quantifying the similarity between every pair of companies from the text of their business descriptions in 10-K filings, fundamentals, news mentions and return correlations. We showed how the resulting similarity score matrix could be used to identify pairs or groups of similar companies (peers), which have numerous potential applications....
Portfolio Management Analytics Risk Management Analytics
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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