Extended-lister
Showing 61 - 70 of 10,000 entries
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Press Release
MSCI ESG Research Launches MSCI ESG DataMetricsPDF
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Research Report
Research Bulletin - Adjusting Risk Models for a Euro ExitEuro area sovereign risks continue to dominate headlines as political uncertainty and market volatility increase. Investors have been preparing for the possibility that one or more countries may exit the common currency, and so has MSCI. How will RiskMetrics and Barra risk models adjust for this event? This paper discusses the challenges of modeling risk where no historical series exist for a new currency. We describe our preparation for the event day risk proxy, then we detail...
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Research Report
Barra Mutual Fund Model (MFM2) - Research Notes
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Research Report
United Kingdom Equity Model (UKE7) Research NotesSection 1 focuses on the model’s estimation universe. Industry and risk index factors are examined in Section 2. Section 3 discusses the estimation of the factor model and refinements made. UKE7's risk forecasts, common-factor and specific, are discussed in Section 4. Section 5 looks at the performance of the model. UKE7's risk forecasts are compared with UKE6's in Section 6.
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Research Report
Asia Pacific Equity Model (ASE1) Research NotesFrom a modeling perspective, the heterogeneous character of the Asia Pacific region poses a particular challenge. The Barra ASE1 model takes this heterogeneity into account, striking an attractive balance between broad coverage and local detail. It provides regional market, industry, and style factors that help institutional investors compare drivers of risk on a pan-regional scale. Where necessary, the model adds local style and industry factors to enhance the explanatory power....
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Research Report
United Kingdom Equity Model (UKE6) Research NotesThis document details the estimation of version 6 of Barra’s UK Equity Model , UKE6, and highlights important improvements upon its predecessor, UKE5, which was introduced in 1994. Section 1 focuses on the model’s estimation universe, its industry and risk index factors. Section 2 discusses the estimation of the factor model and refinements made. UKE6’s risk forecasts, common-factor and specific, are discussed in Section 3. Section 4 looks at the performance of the model.
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Research Report
South Africa Equity Model (SAE3) Research NotesSection 1 focuses on the model’s estimation universe and its industry and risk index factors. Section 2 discusses the estimation of the factor model and the refinements that were made. Construction of the covariance matrix and specific risk forecasts are discussed in Section 3, while Section 4 reviews the performance of the model as a whole and compares bias statistics between the two models.
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Research Report
MSCI ESG Research Round Table Report 2015‘GSE’ - The Rising Importance of Governance in ESG Integration. This fascinating round-table discussion is titled ‘GSE’, reversing the usual order of ESG – Environmental, Social and Governance factors. This is because for institutional investors, especially equity holders, corporate governance is the legal framework for ensuring their shareholder rights and views are respected and heard. It also tends to be the main channel (voting and engagement) through...
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Research Report
Research Insight - Backtesting Expected Shortfall - December 2014In this white paper, we join the debate over Expected Shortfall versus VaR by introducing three model-independent, nonparametric back-test methodologies for Expected Shortfall, which we find more powerful than today's standard Basel VaR test. Our three Expected Shortfall back-test's generally require the storage of more information, but we find no conceptual limitations nor computational difficulties. In fact, one of the proposed back tests does not require any additional storage of data from...
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Research Report
Implications of the Japanese Nuclear Disaster: An ESG Research PerspectiveThe ongoing nuclear power crisis in Japan will have lasting implications for power generation around the globe. A much-anticipated “nuclear renaissance” could be curtailed as the world absorbs lessons from the worst nuclear accident since the Chernobyl disaster 25 years ago.