In 2012, MSCI hit a number of milestones with significant updates and developments to our core products and services. Our unwavering commitment to our client needs and our mission to provide quality products and services are reflected in this overview.
Over the course of 2012, a number of key releases of RiskManager were delivered to our clients. With over 100 specific enhancements, including :
- The introduction of a Basis Swap curve risk factor and analytics to manage risk between different forward tenor contracts
- Fully revised market curves including one of the most complete sets of USD, GBP and CAD issuer curves
- Intex sensitivity model for securitized products and a US MBS spread risk factor
- Counterparty Credit Exposure extensions including Marginal and Incremental CVA
>> For details on these and many other upgrades, read more
Highlights of the updates to the BarraOne platform over the course of 2012 include:
- The BarraOne Add-In for Microsoft Excel™ was enhanced to give clients access to BarraOne's robust stress testing capabilities
- BIM301L with GEM2 for equities provides clients a way clients to view their investments with a more parsimonious set of equity factors than the standard BIM 301 equity factors
- US Private Equity Model allows clients to incorporate analysis of their private equity holdings into the Barra factor framework
- ESG data sets within the BarraOne platform provides clients a view into the ESG aspects of investments decisions
>> For details on these and many other upgrades, read more
The OTC Derivatives (R)evolution
Mandatory Central Clearing will "revolutionize" the global OTC Derivatives Market. In fact, almost all financial institutions will be affected by these new clearing requirements: Banks, Hedge Funds, Asset Managers, Insurance Companies, and Non-Financial Companies.
The Dodd-Frank Act and the European Market Infrastructure Regulation (EMIR) are the pieces of legislation designed to enact these OTC market reforms in the US and EU respectively, and should be in place by 2013 to meet the G20 deadline. The reforms are based around three guiding aims:
- bringing greater transparency to OTC derivatives markets
- reducing counterparty risk
- reducing operational risk
On November 29, MSCI hosted an event in Milan "The OTC Derivatives (R)evolution: Catalysts on the Horizon for the Risk Management Business". The presentation given by Cristiano Zazzara (RMA Business) is available below.
The presentation is available here.
FEA introduces our latest offering in the @ENERGY suite of products: PowerWorks. Energy practitioners worldwide are facing growing demands from investors, regulators, and counterparties to measure, manage, and disclose their portfolio risk profile, and ensure that they comply with best practices. Prior to committing resources in today's market environment, it is vital to take a holistic view of your portfolio to get a realistic measure of possible outcomes so that well-informed decisions can be made.
@ENERGY/PowerWorks is a simulation-based tool designed to allow users to easily construct and examine the risks and exposures of a portfolio of physical and financial energy assets. Independent power producers, energy marketing firms, private-equity backed firms, municipal utilities and other energy firms can accurately value and understand the individual and combined risks of their retail contracts, generation assets and financial positions to fully realize the true value of their portfolio. Read more
Case Study: Active governance at NEST
NEST (National Employment Savings Trust) is an automatic enrollment pension scheme for UK employers to use for their UK-based workers. NEST's Trustee and Executive Team have set themselves the mandate to establish high standards of investment governance. One of the main areas of governance which NEST's Trustee, and in particular its Investment Committee, decided to focus on was risk management. NEST chose MSCI as its provider for a risk management system and BarraOne as the risk management platform. Read the case study written by NEST
Press Release: Stenham Selects MSCI's RiskMetrics HedgePlatform
October 25, 2012
In 2012, MSCI executed major datacenter upgrades as part of a multi-year process to invest in our infrastructure and technology. In Q3, MSCI migrated our RiskManager, CreditManager and WealthBench servers to our new state of the art United States datacenters in Nevada from legacy centers on the East Coast. Subsequently in Q4, we complete a transition of the BarraOne and Barra Portfolio Manager services to our modernized platforms based out of our Geneva datacenters. In both the Nevada and Geneva locations, MSCI utilizes redundant data centers, advanced server virtualization and other innovations to support high performance, high availability computing services. These major milestones in the infrastructure and technology project highlight our commitment to our clients to continually invest in and innovate our technology platforms.
Stress Testing Market Report
Credit Risk: Default, Migration and Correlation Shocks by Audrey Costabile and Mark Schmude
Risk Management and Macroeconomic Uncertainty: Short-term Consequences of Long-term Risk by Kurt Winkelmann
Macro-Sensitive Portfolio Strategies: How We Define Macroeconomic Risk by Kurt Winkelmann, Ludger Hentschel, Raghu Suryanarayanan, and Katalin Varga
Emerging Market Debt
Emerging Market (EM) fixed income has evolved from government bonds in developed currencies to locally denominated bonds, to corporate bonds in developed currencies, and now even to considering corporates in local currencies. Emerging markets are highly idiosyncratic and modeling the risk requires understanding the specific issues of each country, including onshore/offshore rates, capital controls and minimum foreign holding periods, different tax treatments of different bonds, and monopolization of specific securities by some market participants. A further evolution is the increasing emergence of inflation-protected EM bonds.
MSCI recently hosted a webinar, "Emerging Market Debt: Challenges and Opportunities" where we discussed all these issues in the context of the risk and return characteristics of individual markets. Download the replay
Click here for a full list of recorded webinars.