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Zsolt Simon

Research and Insights

Articles by Zsolt Simon

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jan 9, 2019 | András Bohák , Attila Agod , Nicholas Sharp , Zsolt Simon

    This 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...

    Stress Testing Portfolios: Best Practices for Shockwave Propagation

    Report | Sep 19, 2016 | Balazs Szekely , Carlo Acerbi , Zsolt Simon , Thomas Verbraken

    Scenario propagation is the second stage of predictive stress testing practices, following scenario definition. This paper illustrates common pitfalls and suggests best practices for a robust propagation of the shockwave of a prospective scenario onto all relevant risk factors of a financial portfolio. The central observation: Risk managers must guard against “noise” in the predictions. Diagnostic statistics can reduce noise and ensure meaningful predictions. Key best practices include: the...

    Analyzing Credit Alpha in an Integrated Risk and Performance Analysis

    Report | Oct 30, 2015 | András Bohák , Nicholas Sharp , Zsolt Simon

    This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.

    Stress Testing a China Hard Landing

    Report | Oct 23, 2015 | Zsolt Simon , Raghu Suryanarayanan , Carlo Acerbi , Jahiz Barlas , Oleg Ruban , Thomas Verbraken

    The persistent decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant.

    What If Greece Leaves the Euro?

    Report | Jun 30, 2015 | Zsolt Simon , Vivek Sridhar , Carlo Acerbi , Thomas Verbraken

    Stress Testing the Greek Exit Scenario Using MSCI RiskManager This Product Insight uses MSCI RiskManager to examine the potential effects of a Greek exit from the euro, explaining the detailed assumptions behind our stress test design. We make use of RiskManager's predictive stress test tool, which starts with user-defined hypothetical shocks on a few core risk factors (singled out as the drivers of the global crisis) then propagates shocks on all markets. In this current exercise, we employ...

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jul 30, 2014 | Nicholas Sharp , Zsolt Simon , András Bohák , Attila Agod

    This 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...