MSCI in Practice: New Risk Analytics in Structured Tranche Sensitivity (STS) for Structured Products
We are pleased to continue our MSCI in Practice series to bring you actionable insight to help build better portfolios. On June 16, we present: New Risk Analytics in Structured Tranche Sensitivity (STS) for Securitized Products.
Value-at-Risk (“VaR”) is an important risk measure for market risk. For computation efficiency, the valuation of securitized products can be approximated by valuation sensitivities to the risk factors.
In this webinar, MSCI experts present new, more accurate and efficient algorithms for the STS risk analytics for securitized products.
- Present the Sensitivity-Based Methodology for VaR (SBVaR) and demonstrate the accuracy and efficiency gains
- Discuss how to access the new methodology
Please click here to view the on-demand recording.
Jun 16 2021
8:00 a.m. PDT
11:00 a.m. EDT
4:00 p.m. BST
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