Extended-lister
Showing 61 - 70 of 152 entries
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Support Site Video
Counterparty Risk - Best Practices in RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - Asset Owners - Q4 2013This quarterly Risk Monitor for Asset Owners reports on the risk and return behavior of five representative pension plans. This edition reports on Q4 2013. We present the performance and risk of assets during the past year and past quarter, adding in liabilities to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and funding status. Finally, we present the evolution of risk and return of the...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - February 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - February 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Market Insight - 2013 Year in Review: Risk Model Backtesting - February 2014This Market Insight presents the results of an annual backtesting study, using RiskManager, applied to four standard risk models. The study includes fixed income and equity portfolios during the 2013 calendar year. While the first half of 2013 was quiet, volatility increased after June 2013. For fixed income portfolios, comparing ex-ante risk forecasts with ex-post returns, the more reactive models showed some underestimation of risk in the turbulent period, while the more stable...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - January 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - January 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - December 2013The 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - December 2013The 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...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Market Insight - Introducing Macroeconomic-Based Stress Testing - December 2013From quantitative easing to talk of tapering, a recurrent theme of 2013 among investors has been concern over rising interest rates. There are many ways to design a rising interest rate stress test,though basing this on history alone is a challenge. Historically, interest rates have risen for numerous reasons: central bank actions, inflation, flight to quality, and so on. The commonality between past regimes of rising interest rates is not obvious. In order to simplify and use a direct link...
Risk Management Analytics RiskMetrics RiskManager