MSCI Launches New Platform to Measure Liquidity Risk Across Asset Classes
MSCI Launches New Platform to Measure Liquidity Risk Across Asset Classes
LiquidityMetrics Sets Standard for Liquidity Analytics
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.”
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.
As of September 30, 2012, as published by eVestment, Lipper and Bloomberg on January 31, 2013
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