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Zsolt Szekeres

Research and Insights

Articles by Zsolt Szekeres

    Intro to LiquidityMetrics

    Research Report | Jun 17, 2013 | Carlo Acerbi, Zsolt Szekeres

    This Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in...

    Model Insight - The MSCI Bond Liquidity Measure (BLM) - Sep. 2012

    Research Report | Sep 28, 2012 | Carlo Acerbi, Dan Stefek, Zsolt Szekeres

    This Model Insight introduces the MSCI Bond Liquidity Measure (BLM), a model-based estimate of bond bid-ask spreads for a broad universe of quoted and non-quoted bonds. The BLM provides both a liquidity scoring metric and a way to quantify potential transaction costs. Applications of BLM include portfolio construction, risk control, risk limits, regulatory compliance, and liquidity provisioning.  Furthermore, BLM opens the way  for the consistent assessment of liquidity...