Extended-lister
Showing 1 - 10 of 452 entries
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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
US House Price Projections from the Impact of the Coronavirus
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Research Paper
MSCI Foreign Exchange Implied Volatility Factor ModelThe MSCI Foreign Exchange Implied Volatility (FX Vol) Factor Model is the latest addition to the MSCI Multi-Asset Class (MAC) Factor Model. As with other factor model blocks in the MSCI MAC model, the MSCI FX Vol model is built on top of the more granular RiskMetrics’ foreign exchange (FX) option data, specifically FX volatility surface time series. As with the MSCI MAC model writ large, the purpose of the MSCI FX Vol model is to filter market data to its fundamental drivers of risk and return.
Portfolio Management Analytics Risk Management Analytics BarraOne
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Research Paper
MSCI Agency Fixed Rate MBS Prepayment Model Version 2.0This Model Insight document describes the details of the new MSCI Agency Fixed Rate MBS Prepayment Model Version 2.0 (MSCI2.0) focusing on the changes as compared to the previous version model - The MSCI Agency Fixed Rate MBS Prepayment Model Version version 1.0 (MSCI1.0) .
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Research Paper
Machine Learning Factors Capturing Non Linearities in Linear Factor ModelsPortfolio Management Analytics Risk Management Analytics
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MSCI Event
Securitized Products Modeling – New Data and Insight from MSCIPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI Global Investing ConferenceIndexes ESG Products & Services Portfolio Management Analytics Risk Management Analytics Real Estate Products & Services
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Research Paper
MSCI Liquidity Risk Monitor 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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Research Paper
MSCI Agency MBS Model Performance Review 2020This Model Insight document reviews and approves the MSCI Agency fixed rate prepayment model performance in 2020, based on the MSCI Securitized Product Model policy.
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Research Paper
MBS Performance through COVID-19This Model Insight document discusses the performance and updates of MSCI Agency MBS prepayment and mortgage rate models through the COVID-19 pandemic.