Extended-lister
Showing 1 - 10 of 450 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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MSCI Event
MSCI Global Investing ConferenceIndexes ESG Products & Services Portfolio Management Analytics Risk Management Analytics Real Estate Products & Services
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MSCI Event
MSCI Analytics Managed Solutions: Improve efficiency to focus on what mattersPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI webinar series: Preparing for the end of LIBORRisk Management Analytics Portfolio Management Analytics
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MSCI Event
MSCI in Practice: Are Stock Bubbles Rising?Portfolio Management Analytics Risk Management Analytics
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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.
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Research Paper
MSCI Agency Prepayment Model UpdatesThe document describes the impact of MSCI Prepayment Model updates for the 2020 Adverse Market Refinance Fee. Initially planned to be effective from September 1, 2020, this additional surcharge has been announced by Fannie Mae and Freddie Mac (Enterprises), to cope with the increasing credit loss related to COVID-19 pandemic. On August 25, 2020, Federal Housing Finance Agency (FHFA) directed the Enterprises to delay the implementation until December 1, 2020 and exempt refinance loans with...
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Research Paper
Building Single-Factor PortfoliosIn this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...
Portfolio Management Analytics Risk Management Analytics