Risk management hero image
Risk Management
Social Sharing
Climate Lab Blurb
|
|
PROMOTED
|
Introducing MSCI Climate Lab Enterprise
MSCI Climate Lab Enterprise provides easy visualization of aggregated data across portfolios, quick identification of key investment strategies positively or negatively contributing to your goals, and on-the-fly trend analysis to track your success at multiple levels in your portfolio hierarchy. The solution allows you to better manage your alignment to net-zero and prepare for the changing investment environment.
Flagship Products
Barra®One
A multi-asset class, multi-currency risk and performance analytics platform that enables investors to use its risk forecasting model, correlated stress test engine and performance analytics together in an integrated fashion. Read more
RiskMetrics® RiskManager
A multi-asset class, scalable SaaS framework for enterprise-wide risk management. RiskManager’s powerful analytical capabilities enable clients to quickly set up custom reports, run ad hoc analyses, perform exception management, design stress test scenarios and conduct what-if analysis. Read more
RiskMetrics® CreditManager
Sophisticated tools for consolidating and comparing risk and opportunities across an entire credit business -- including bonds, credit derivatives and traditional retail exposures. Read more
RiskMetrics® HedgePlatform
A service that helps investors to better manage their hedge fund investments using analytics calculated on the position-level holdings of each fund. Read more. Case Study: Using MSCI HedgePlatform for holdings-based risk management - A case study for the State of Wisconsin Investment Board.
RiskMetrics® WealthBench
A web-based platform that helps wealth managers assess portfolio risk, construct asset allocation policy and create comprehensive client proposals. Read more
Stress Testing
Stress testing is used to identify potential losses due to event-related risks that may not be captured by standard Value at Risk (VaR) analysis.
In addition to helping clients address regulatory requirements for stress testing, our extensive library of historical and predictive stress tests helps clients with business planning by giving them a clear view of their structural and tail risks. Learn more about multi-period stress testing which allows investors to understand the impact of scenarios that can occur over multiple market cycles.
Our stress tests can be fully customized by adding shock parameters, correlation assumptions and other measures. For more information please read here. 
Statistical Analysis
Our well-respected tools for statistical analysis provide clients with a broad range of risk calculations on a daily and weekly basis.
One of our best-known statistical models is Value at Risk (VaR), which calculates the largest possible loss that could be incurred in a portfolio at a specific probability level over a given period of time.
In December 2014, we proposed three methods for back-testing Expected Shortfall that are shown to be more powerful than the Basel VaR test. These tests generally require storing more information, but introduce no conceptual limitations or computational difficulties.
|
Statistical Models in Our Toolkit |
||
|---|---|---|
|
Accrued Interest |
Effective Convexity |
Option Adjusted Spread Delta |
|
Base Correlation Series Delta |
Equity Delta |
Option Adjusted Spread Gamma |
|
Beta |
Equity Gamma |
Par Yield Spread Delta |
|
Beta BB |
Expected Shortfall |
Par Yield Spread Sensitivities |
|
Bond Equivalents |
Exposure |
Position Count |
|
Break-Even Inflation |
Exposure HP |
Present Value |
|
Cash-Flow at Risk |
Factor Loading |
Real Notional in Base Currency |
|
CDO Correlation |
Factor R-Squared |
Real Notional in Local Currency |
|
CDS Delta |
Fair Spread Delta |
Recovery Rate |
|
Clean Present Value |
Fair Spread Gamma |
Return Simulation |
|
Commodity Delta |
Future Value |
Risk Attribution Present Value |
|
Commodity Gamma |
FX Delta |
Risk Contribution |
|
Conditional Means Gains |
Gamma Matrix |
Spread Convexity |
|
Correlation Reporting |
Generalized PVBP |
Spread Delta |
|
Credit Spread |
Greek Sensitivities |
Spread Duration |
|
CreditGrades Asset Volatility |
Idiosyncratic OAS |
Spread Gamma |
|
Currency Delta |
Incremental VaR |
Standard Deviation |
|
Currency Gamma |
Interest Rate Delta (DV01) |
Stress by Time |
|
Delta |
Interest Rate Gamma |
Stress by Value |
|
Delta Equivalents |
Issuer OAS |
Stress PV Delta |
|
Discrete Real Yield |
Key Rate Duration |
Stress Test PV |
|
Diversification Benefit |
Marginal VaR |
Theta |
|
Dollar Delta |
Market Returns |
Time to Maturity |
|
Dollar Gamma |
Modified Convexity |
Underlying Present Value |
|
Dollar Total Gamma |
Modified Duration |
Value at Risk (VaR) |
|
Duration |
Notional in Base Currency |
Vega |
| Earnings at Risk | Notional in Local Currency | Yield |
Three Ways to Connect to Our Risk Engine
|
ASP |
A highly flexible application that enables clients to quickly set up custom reports and perform ad hoc analysis to identify areas of risk. |
|
Web services |
Direct, intraday access to MSCI’s risk engine through an XML-based process that offers integration with proprietary and third-party technology and maximizes speed of delivery. |
|
Services and solutions |
Actionable solutions provided by a dedicated MSCI team that can deliver customized reports. |
Liquidity Risk Monitor Reports
Liquidity Risk Monitor Reports
The report demonstrates the movement of select liquidity risk indicators involving U.S. and non-U.S. corporate bonds and bank loans liquidity, and is designed to help you identify strategies for liquidity risk management.
MSCI Equity Factor Models
MSCI Equity Factor Models
Leverage factors like sustainability, crowding and machine learning for building more resilient portfolios as market conditions change.
Introducing ESG transparency for hedge fund portfolios
Introducing ESG transparency for hedge fund portfolios
MSCI RiskMetrics® HedgePlatform has integrated MSCI ESG Research to offer investors a range of ESG and climate metrics on hedge funds.