MSCI Launches New Platform to Measure Liquidity Risk Across Asset Classes
LiquidityMetrics Sets Standard for Liquidity Analytics
NEW YORK -- September 16, 2013
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 basis^1;
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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