Extended-lister
Showing 1 - 10 of 29 entries
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Research Paper
MSCI Multi-Asset Class (MAC) Factor Model ValidationThe MSCI Multi-Asset Class (MAC) Factor Model introduces several major advances in risk modeling, including systematic MAC strategy factors, a next-generation fixed income model, and improved equity models. This document demonstrates the value of the MSCI MAC Factor Model in forecasting risk, based on (1) visual inspection of the risk forecasts and realized returns, and (2) statistical tests. The MSCI MAC Factor Model is evaluated on an absolute (stand-alone) basis, and is also compared with...
Portfolio Management Analytics Risk Management Analytics BarraOne
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Research Paper
The MSCI Multi-Asset Class Factor ModelPortfolio Management Analytics Risk Management Analytics BarraOne
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Research Paper
An Integrated View of Risk and ReturnThere are two widely used paradigms for analyzing risk and return: one where each security is modeled with the highest level of specificity possible, and another where a small number of common, fundamental factors are extracted from the security-level returns. The two approaches are complementary and it is important that they coexist within a unified underlying framework. For example, it is common that a risk manager will use the security-level approach to monitor position-level limits, while...
BarraOne RiskMetrics HedgePlatform Measurisk RiskMetrics RiskManager
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Research Paper
Constructing a Credit Value Strategy using the BarraOne OptimizerThis document presents a case study describing the specific workflow used to set up the credit value strategy discussed in the paper Navigating Central Bank Intervention in Corporate Bond Markets (Sparks and Sharp 2017). It futher analyzes the impact of the European Central Bank's corporate bond program from the perspective of a hypothetical asset manager pursuing a credit value strategy in euro-denominated corporate debt.
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Management of Negative Interest Rates in RiskMetrics RiskManager and BarraOneRisk Management Analytics BarraOne RiskMetrics RiskManager
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BarraOne 3.10 ReleaseRisk Management Analytics BarraOne
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BarraOne 3.9.1 Release: Performance AnalyticsRisk Management Analytics BarraOne
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Research Paper
Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...
Risk Management Analytics BarraOne
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Research Paper
Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...
Risk Management Analytics BarraOne
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Support Site Video
Modeling Wrong Way Risk in CVAPortfolio Management Analytics Risk Management Analytics BarraOne Equity Risk Models RiskMetrics RiskManager