MSCI Risk Monitor - RiskMetrics® Europe - June 2015

Jun 16, 2015

The monthly Europe Risk Monitor reports on the evolution of risk forecasts, using a common RiskMetrics risk forecasting model, for 12 key risk factors chosen for their relevance to European investments. The factors are selected each month depending on market developments (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a European view of changes in market risks, and assists risk managers in explaining risk changes and risk model performance on their own portfolios.