Extended-lister
Showing 4051 - 4060 of 5,017 entries
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Research Report
MSCI Risk Monitor: RiskMetrics Global - September 2015Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.
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Research Report
MSCI Risk Monitor: RiskMetrics Global - October 2015Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe – December 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - November 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - October 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - June 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - May 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
Is There a Filings Factor?
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Research Report
Building Single-Factor PortfoliosIn this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...
Portfolio Management Analytics Risk Management Analytics
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Research Report
LiquidityMetrics Model ValidationLiquidityMetrics provides an analytical framework for liquidity risk management and regulatory reporting. This paper provides validation results for fixed-income securities through the lens of observed transaction costs. The validation period covers the relatively calm markets in 2019, as well as the onset and recovery from the COVID-19 crisis in 2020.
Risk Management Analytics LiquidityMetrics