MSCI Risk Monitor: RiskMetrics Europe - July 2015

Jul 17, 2015

Volatility and Correlation for Key Risk Drivers in Europe

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.