Climate Lab Blurb

 
PROMOTED

Seeing credit risk more clearly

MSCI’s Integrated Market and Credit Risk Model combines our long-term horizon market risk modeling engine with the well-established CreditMetrics portfolio credit risk model. Our model jointly simulates market risk factors and individual default events via default risk drivers. The simulation yields consistent scenarios, accounting for profit and loss arising from cash flows, aging, market movements and defaults of individual entities with full repricing of positions. As a result, the model can deliver risk insights under a broader set of conditions and across credit qualities without making assumptions regarding the dominance or independence of any of the risk types.

Download factsheet (PDF, 216 KB)


Flagship Products

Stress Testing

Statistical Analysis

Three Ways to Connect to Our Risk Engine

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.