MSCI Inc. (NYSE:MSCI), a leading provider of investment decision
support tools worldwide, today announced the launch of
LiquidityMetrics, the first commercially available tool for
measuring liquidity risk across asset classes, delivered through
RiskMetrics RiskManager.
“The 2008 financial crisis raised fundamental questions about
liquidity risk,” according to Roveen Bhansali, Managing Director
and Head of Risk Management Analytics for MSCI. “The launch of
LiquidityMetrics comes at a time of increasing regulatory demand
for risk controls that make credit more vulnerable to liquidity
shocks and when the industry at large is calling for greater
transparency and sophistication. This provides the first consistent
set of metrics to assess liquidity across asset classes.”
Through its innovative methodology, LiquidityMetrics provides a
robust description of asset liquidity and extends liquidity risk to
incorporate the time, cost, and size dimensions. This translates
into a single liquidity framework that can be used by clients
across their organization to support their investment management,
risk management and regulatory risk reporting requirements.
LiquidityMetrics enables users to stress test the liquidity of a
portfolio, measure market impact, transaction cost, liquidation
horizon, amount available for liquidation and the liquidation
value.
Continued Bhansali, “Liquidity measurement has long been
neglected in risk management platforms. The profile of liquidity
risk has steadily increased over the last several years and changed
the long believed notion that it has a negligible effect on overall
risk. Measuring true liquidity risk across asset classes has
remained elusive because of the limitations of models and data
scarcity. The LiquidityMetrics methodology enables users to measure
liquidity risk on asset classes that otherwise would have been
impossible to measure, providing a more comprehensive picture of
risk.”
About MSCI
MSCI Inc. is a leading provider of investment decision support
tools to investors globally, including asset managers, banks, hedge
funds and pension funds. MSCI products and services include
indices, portfolio risk and performance analytics, and governance
tools.
The company’s flagship product offerings are: the MSCI indices
with close to USD 7 trillion estimated to be benchmarked to them on
a worldwide basis1; Barra multi-asset class factor models,
portfolio risk and performance analytics; RiskMetrics multi-asset
class market and credit risk analytics; IPD real estate
information, indices and analytics; MSCI ESG (environmental, social
and governance) Research screening, analysis and ratings; ISS
governance research and outsourced proxy voting and reporting
services; FEA valuation models and risk management software for the
energy and commodities markets; and CFRA forensic accounting risk
research, legal/regulatory risk assessment, and due‐diligence. MSCI
is headquartered in New York, with research and commercial offices
around the world.
1
As of September 30, 2012, as published by
eVestment, Lipper and Bloomberg on January 31, 2013
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