MSCI Risk Monitor - RiskMetrics - December 2012
Dec 7, 2012
The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk managers in explaining risk changes and risk model performance on their own portfolios.