Extended-lister
Showing 41 - 50 of 152 entries
-
Research Report
Technical Note - Backtesting Counterparty Credit Risk Models - October 2014In this Technical Note - following the Basel Committee's recommendations - we present our methodology for backtesting the Counterparty Credit Risk models in MSCI's RiskManager product. We test risk factor simulation models and our margining framework separately by comparing the realized risk factor values and the netted exposures to their forecast distributions at multiple horizons. We use the Cram'r-von Mises test to check if the forecasts were statistically correct during the observation...
Risk Management Analytics RiskMetrics RiskManager
-
Research Report
MSCI Risk Monitor - RiskMetrics Europe - October 2014RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (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...
-
Research Report
MSCI Risk Monitor - RiskMetrics Global - October 2014RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. 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 broad view of changes in global market risks, and assists risk managers in explaining...
Risk Management Analytics RiskMetrics RiskManager
-
Research Report
MSCI Risk Monitor - RiskMetrics Global - September 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. 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 broad view of changes in global market risks, and...
-
Research Report
MSCI Risk Monitor - RiskMetrics Europe - September 2014The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (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...
-
Research Report
MSCI Risk Monitor - RiskMetrics Europe - August 2014The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (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...
-
Research Report
MSCI Risk Monitor - RiskMetrics Global - August 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. 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 broad view of changes in global market risks, and assists...
-
Support Site Video
Modeling Wrong Way Risk in CVAPortfolio Management Analytics Risk Management Analytics BarraOne Equity Risk Models RiskMetrics RiskManager
-
Research Report
MSCI Risk Monitor - RiskMetrics Global - July 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. 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 broad view of changes in global market risks, and assists...
-
Research Report
MSCI Risk Monitor - RiskMetrics Europe - July 2014The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (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...