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Research Insight - Intro to LiquidityMetrics - June 2013

categories: Americas, EMEAI, Risk Management Analytics, Asset Allocation and Asset Liability Management, Investing (Investment Management), Portfolio Construction and Optimization, Risk Management, RMA, Asia Pacific, Multi-Asset Class, LiquidityMetrics, Research Paper, ACERBI Carlo, SZEKERES Zsolt, general

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 light of its liquidity obligations. In particular, this new methodology introduces models for liquidity surfaces of OTC asset classes, where market transparency is limited.

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