Extended-lister
Showing 1501 - 1510 of 5,460 entries
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Research Report
Insights on Japan's Bond MarketJapan’s domestic bonds constitute one of the major asset classes for Japanese pension plan sponsors. In this Research Bulletin, we use the Barra Integrated Model (BIM) to examine the evolution of this market and better understand the relationship between bonds and equities in Japan.
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Research Report
Merton and Beyond - The State of the Art in Credit Modeling and TradingBarra Credit, a breakthrough solution to the challenges faced by managers who deal with credit risk. By using quantitative, market-implied measures of credit risk from the equity, bond and derivatives markets, it allows the user to see the potential for default sooner and with greater certainty, in spite of imperfect information. Because it is web-based, Barra Credit is easy to use and allows users to monitor, screen and analyze credit-risky assets faster than ever before....
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Research Report
The Barra Credit Series: Market Implied RatingsIn recent years, the growth of the global credit market has been spectacular. From an investor perspective, this has created many new opportunities for higher returns and diversification, but a careful management of risk is more necessary than ever. In this context, measures of credit quality are becoming an increasingly important reference. Agency ratings are a standard measure of credit quality. The question of capital requirements and the recent collapse of several high-profile large...
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Research Report
Model Insight - The MSCI Bond Liquidity Measure (BLM) - Sep. 2012This Model Insight introduces the MSCI Bond Liquidity Measure (BLM), a model-based estimate of bond bid-ask spreads for a broad universe of quoted and non-quoted bonds. The BLM provides both a liquidity scoring metric and a way to quantify potential transaction costs. Applications of BLM include portfolio construction, risk control, risk limits, regulatory compliance, and liquidity provisioning. Furthermore, BLM opens the way for the consistent assessment of liquidity...
Portfolio Management Analytics Risk Management Analytics
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Research Report
Inflation Risk Across the BoardInflation markets have evolved significantly in recent last years. In addition to stronger issuance programs of inflation-linked debt from governments, derivatives have developed, allowing a broader set of market participants to start trading inflation as a new asset class. These changes call for modifications of risk management and pricing models. While the real rate framework allowed us to apply the familiar nominal bond techniques on linkers, it does not provide a consistent...
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Newsletter
Headlines 6Online Version | Not %%FullName_%%? Click here to register. HeadlinesFrom MSCI Barra | Issue 6Dear %%FullName_%%>> New! MSCI FX Hedge Indices>> Best Practices for Investment Risk Management>> From Energy to Food Products - A Universal Approach to Industries>> Improved Forecasting Accuracy with EUE3>> Extended History for GEM2 Now Available>> Strategic Asset Allocation Using BarraOne>> Efficient Replication of Factor Returns>> Index Focus: MSCI...
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Research Report
Liquidity Risk Management for Funds: Part 2: Best Practices for Stress TestingThis is the second in a series of research papers proposing MSCI’s best practices for fund liquidity risk management. Here we propose best practices for liquidity stress testing at funds, drawing on guidelines from the European Securities and Markets Authority for undertakings for the collective investment in transferable securities (UCITS) and alternative investment funds. When designing market stress tests, we create both historical and hypothetical scenarios. Both cover at least three...
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Research Report
Understanding the Tails of the Return DistributionTraditional models in finance rely heavily on the use of normal (Gaussian) distribution. Using examples of asset, factor and index returns, we illustrate that the assumption of normality does not capture the empirical properties of returns and volatility alone cannot be relied on as a measure of portfolio risk. We outline how extreme value theory can help to model the tails of the return distribution and, using data from 1996 to 2007, show how Barra Extreme Risk can improve...
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Research Report
Fund ESG Transparency Q3 2021 Spotlight: Thematic Funds
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Newsletter
Index Update - April 2012Online Version | Contact Us Index UpdateFrom MSCI | April 2012 New Product LaunchesMSCI Economic Exposure IndicesThe MSCI Economic Exposure Indices reflect the performance of companies with significant exposure to specific regions or countries, regardless of their domicile. MSCI introduced the first series in this new index family, the MSCI Indices with EM Exposure, on March 29. The flagship index of the series, the MSCI World with EM Exposure Index,...