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Risk Update - September 2012

last modified on 13 May 2019 UTC

categories: Risk Management Analytics, Newsletter, general


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Risk Update

From MSCI | September 2012 

Risk Update

Product News

A Risk X-Ray: Correlated Risk Decomposition

What Drives Changes in Risk?

One of the key challenges for a risk manager or a portfolio manager is to account for changes to the risk profile of his or her portfolio. Market volatility is often an important driver, but is not necessarily the main contribution to the change. Other factors that could affect the risk profile of a portfolio could include a change in the portfolio composition itself, or changes in the diversification effect inherent within the components of the portfolio. Read more

Regulation News

A First Glimpse at Basel 4

The Basel Committee on Banking Supervision (BCBS) continues to evolve their fundamental guidelines for global banking regulation and risk management. In May, the Committee published a Consultative Paper entitled Fundamental Review of the Trading Book. The review represents a first step toward a new framework for capital standards for trading operations. On September 7, MSCI submitted formal comments to the consultative paper. An executive summary of the comments, authored by MSCI researchers Christopher Finger and Carlo Acerbi, appears below.

The full comments are available here.

Register for the webinar on October 3

Christopher Finger has also written a paper that outlines the key points of the Review, and summarizes the remarks made by MSCI in its formal response.

Read the Market Insight - Reviewing the FRTB: Commentary on the Basel Committee’s Fundamental Review of the Trading Book

Client News

Wurts & Associates Selects MSCI's BarraOne

Wurts & Associates, a Seattle-based investment consultant with USD 40 billion in assets under advisement, will utilize BarraOne for both their newly launched Outsourced CIO (OCIO) platform as well as within their traditional, non-discretionary client base. Read more

Rogge Global Partners Selects MSCI's BarraOne for its Fixed Income Portfolio Risk

Rogge Global Partners will use BarraOne for active portfolio risk management and Liability Driven Investment (LDI) implementations. BarraOne helps risk managers combine traditional curve, spread, and prepayment analytics with the factor-based market dynamics that drive fund volatility. Read more

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Risk Update Survey

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Risk On, Risk Off in a Multifactor World

Stress Testing Market Report by Audrey Costabile and Zita Marossy

"Risk on, risk off" has become a common way to describe market behavior. In the "risk on" scenario, investors display a greater appetite to buy "risky" assets, causing equity prices to increase. Alternatively, during periods of "risk off" behavior, risk aversion increases and can push equity prices lower, while "safe haven" assets outperform. In this binary world, asset prices move in tandem and have high correlations, presenting additional challenges to investors. In this paper, we examine how factors in the Barra Integrated Model (BIM 301) have behaved under "risk on, risk off" conditions. We describe typical factor movements under a "risk off" scenario and specify a stress test in BarraOne that models factor changes when risk aversion is high. In the Appendix, we also provide insights to factor movements in the "risk on" scenario.

Read 'Risk On, Risk Off in a Multifactor World'

The Ultimate Forward Rate: Implications for Dutch Pension Plans

Research Insight by Zita Marossy and Neil Gilfedder

Since the global financial crisis, Dutch pension plans have faced a dual challenge of disappointing asset returns and low interest rates, resulting in a decline of their funding ratios. This has led regulators to consider revised pension funding rules, including the possible introduction of the ultimate forward rate (UFR) in the construction of the yield curve used to discount pensions' liabilities to their present value. In this Research Insight, we examine the implications for pension plans if regulators introduce the UFR and how it may impact stakeholders.

Read 'Ultimate Forward Rate: Implications for Dutch Pension Plans'

Product Insight

Selecting a Market Risk System: A Holistic Approach

White Paper by Seth Greenberg, Erik Olsen, Dan Sinnreich, Mohan Verma

This paper highlights key elements for consideration when evaluating market risk systems. The paper walks through the key criteria that should be considered to help you to ask the right questions, create a check-list of how to begin, and to find the solution that bests suits your organization’s particular needs. Key topics covered include selecting the investment horizon, defining data requirements, and aligning risk methodologies to your particular investment process.

Read 'Selecting a Market Risk System: A Holistic Approach'


Risk Management Analytics Events Calendar

MSCI Comments on the Basel Committee for Banking Supervision Consultative Document

October 3, 2012, LiveMeeting


» Register today

Introduction to the MSCI Risk Monitor: RiskMetrics

October 10, 2012, LiveMeeting


» Register today

Introduction to the MSCI Risk Monitor: Global Equities

October 11, 2012, LiveMeeting


» Register today

Stress Testing and Credit Risk: Credit Migration and Correlation Risks

October 16, 2012, LiveMeeting


» Register today

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