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Integrated risk management
Our Analytics research aims to provide new understanding for investors on how markets, asset classes and individual securities may be linked from a risk perspective. From cutting-edge models for traditional and alternative asset classes to understanding how macroeconomic factors affect asset prices to stress testing scenarios with robust single security coverage, we examine risk for clients' entire portfolios and across investment horizons.
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Featured research papers and blog posts
Are You Ready for Uniform MBS? (Part 2)
Are You Ready for Uniform MBS? (Part 2)
Blog Post: Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities, which the two agencies will launch on June 3, 2019. Can investors stay ahead of the market?
A more politicized Fed? The market yawns
A more politicized Fed? The market yawns
Blog Post: Does the market think the Federal Reserve is becoming less independent because of political pressure? Some worry this could become a reality, at a potential long-term cost to the economy. We look at more than a half-century of inflation, rate and volatility data to gauge the current market view.
Are You Ready For Uniform MBS? (Part 1)
Are You Ready For Uniform MBS? (Part 1)
Blog Post: Investors are preparing for the June 2019 launch of Fannie Mae and Freddie Mac’s uniform mortgage-backed security. Investors have the option to exchange their securities, but face the challenge of accurately modeling the compensation they will get for receiving the new ones, which have longer payment delays.
What Yield-Curve Inversions Have Meant For Markets
What Yield-Curve Inversions Have Meant For Markets
Blog Post: Yield-curve inversions have historically preceded recessions, leading some market commentators to suggest that inverted yield curves roil the stock and bond markets. But what does market history tell us about the relationship between curve inversions and stock values and Treasury yields?
Evaluating the Impact of LIBOR Fallback
Evaluating the Impact of LIBOR Fallback
Blog Post: Some financial contracts based on LIBOR and other interbank rates have maturities that extend beyond 2022 — when these rates will be discontinued. How will the transition to a replacement rate affect the value of these contracts? Can investors consider and act on this repricing risk before LIBOR disappears?
Have High-Yield ETFs Created Liquidity Risk?
Have High-Yield ETFs Created Liquidity Risk?
Blog Post: In the fourth quarter of 2018, a wave of ETF redemptions provided an opportunity to assess the strength of liquidity in the high-yield market — a portion of the fixed-income universe where market participants may be more likely to affect spreads through purchases and sales. We examine whether heavy ETF redemptions influenced bond spreads.
Risk’s Rising Role in Investment Strategy
Risk’s Rising Role in Investment Strategy
MSCI sponsors Risk.net survey on the changing role that risk offices play in the evolution of investment strategies.
What is the future of the ECB’s corporate bond program?
What is the future of the ECB’s corporate bond program?
With average purchases of €7.8 billion ($8.7 billion) per month, the European Central Bank’s corporate bond buying program (CSPP) has become a major driver in the market.
Why Brexit and economic exposure matters
Why Brexit and economic exposure matters
The performance of markets post-Brexit highlights the importance of capturing how companies across different industries are exposed to economic activity beyond their domestic borders.
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