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MSCI Research Paper Series

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1.

Portfolio of Risk Premia: A New Approach to Diversification

MSCI Barra Research Paper No. 2009-01
Number of pages: 13 Posted: 24 Jan 2009
Working Paper Series
MSCI Barra, MSCI Inc. and MSCI Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 4,319
2.

Is There a Link between GDP Growth and Equity Returns?

MSCI Barra Research Paper No. 2010-18
Number of pages: 10 Posted: 12 Nov 2010
Working Paper Series
MSCI Inc.
Downloads 1,444
3.

Extreme Risk Management

MSCI Barra Research Paper No. 2009-4
Number of pages: 16 Posted: 12 Feb 2009 Last Revised: 19 Feb 2009
Working Paper Series
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 1,421
4.

Characteristics of Factor Portfolios, March 2010

MSCI Barra Research Paper No. 2010-08
Number of pages: 21 Posted: 07 May 2010
Working Paper Series
MSCI Barra
Downloads 1,327
5.

Market Implied Ratings

Risk Magazine, July 2003
Number of pages: 15 Posted: 13 Aug 2003
Accepted Paper Series
Morgan Stanley - Fixed Income Research, University of California, Berkeley and Loomis Sayles
Downloads 1,027
6.

The Fundamentals of Fundamental Factor Models (June 2010)

MSCI Barra Research Paper No. 2010-24
Number of pages: 15 Posted: 13 Nov 2010
Working Paper Series
MSCI Inc. and State Street Global Advisors
Downloads 1,025
7.

Affine Point Processes and Portfolio Credit Risk

Number of pages: 29 Posted: 14 Jun 2006 Last Revised: 15 Jun 2010
Working Paper Series
Stanford University, Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 902
8.

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Number of pages: 34 Posted: 22 Oct 2007
Working Paper Series
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 860
9.

Modeling Value at Risk with Factors

MSCI Barra Research Paper No. 2009-39
Number of pages: 36 Posted: 22 Nov 2009
Working Paper Series
MSCI Inc., affiliation not provided to SSRN, MSCI Barra, MSCI Inc., MSCI Inc., MSCI Barra and University of California, Berkeley
Downloads 820
10.

Best Practices for Investment Risk Management, June 2009

MSCI Barra Research Paper No. 2009-21
Number of pages: 12 Posted: 25 Jun 2009
Working Paper Series
MSCI Inc. and State Street Global Advisors
Downloads 791
11.

Forecasting Extreme Financial Risk

Number of pages: 22 Posted: 01 Dec 2004
Working Paper Series
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 777
12.

Eigen-Adjusted Covariance Matrices

MSCI Barra Research Paper No. 2011-14
Number of pages: 21 Posted: 23 Aug 2011
Working Paper Series
MSCI Barra, MSCI Inc. and MSCI Inc.
Downloads 767
13.

Efficient Replication of Factor Returns, June 2009

MSCI Barra Research Paper No. 2009-23
Number of pages: 19 Posted: 22 Jul 2009 Last Revised: 05 Aug 2009
Working Paper Series
MSCI Inc., MSCI Inc. and affiliation not provided to SSRN
Downloads 735
14.

Maximizing the Sharpe Ratio, June 2009

MSCI Barra Research Paper No. 2009-22
Number of pages: 14 Posted: 22 Jul 2009
Working Paper Series
MSCI Inc. and MSCI Inc.
Downloads 653
15.

Forecasting Default in the Face of Uncertainty

Journal of Derivatives, Vol. 12, No. 1, pp. 14-25, 2004
Number of pages: 15 Posted: 17 Mar 2003
Accepted Paper Series
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 625
16.

Global Momentum

MSCI Barra Research Paper No. 2009-3
Number of pages: 6 Posted: 01 Feb 2009
Working Paper Series
MSCI Inc.
Downloads 595
17.

Extreme Risk Analysis, July 2009

MSCI Barra Research Paper No. 2009-16
Number of pages: 20 Posted: 14 May 2009 Last Revised: 08 Jul 2009
Working Paper Series
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 570
18.

Refining Portfolio Construction When Alphas and Risk Factors are Misaligned

MSCI Barra Research Paper No. 2009-09
Number of pages: 8 Posted: 26 Mar 2009
Working Paper Series
State Street Global Advisors, MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 544
19.

Assessing Interest Rate Risk Beyond Duration – Shift, Twist, Butterfly

MSCI Barra Research Paper No. 2010-13
Number of pages: 26 Posted: 09 May 2010
Working Paper Series
MSCI Inc. and MSCI Inc.
Downloads 527
20.

Pitfalls in Risk Attribution

MSCI Barra Research Paper No. 2011-07
Number of pages: 15 Posted: 27 Apr 2011
Working Paper Series
MSCI Inc. and MSCI Barra
Downloads 519
21.

Beyond Brinson: Establishing the Link Between Sector and Factor Models, April 2010

MSCI Barra Research Paper No. 2010-14
Number of pages: 14 Posted: 12 May 2010
Working Paper Series
MSCI Inc. and MSCI Barra
Downloads 511
22.

Decomposing Cross-Sectional Volatility (September 2010)

MSCI Barra Research Paper No. 2010-30
Number of pages: 21 Posted: 14 Nov 2010
Working Paper Series
MSCI Barra and MSCI Inc.
Downloads 506
23.

On the Aggregation of Local Risk Models for Global Risk Management

Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20 Posted: 06 Jun 2005
Working Paper Series
University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research

Multiple version iconThere are 2 versions of this paper

Downloads 489
24.

Investing in Credit: How Good is Your Information?

Risk, Vol. 17, No. 1, pp. S16-S18, January 2004
Number of pages: 3 Posted: 28 Feb 2004
Accepted Paper Series
University of California, Berkeley
Downloads 468
25.

Measuring the Efficiency of Portfolio Construction - December 2008

MSCI Barra Research Paper No. 2009-02
Number of pages: 7 Posted: 24 Jan 2009
Working Paper Series
MSCI Inc.
Downloads 456
26.

What Drives Long-Term Equity Returns, January 2010

MSCI Barra Research Paper No. 2010-04
Number of pages: 7 Posted: 17 Feb 2010
Working Paper Series
MSCI Inc.
Downloads 408
27.

GDP Weighted Asset Allocation, February 2010

MSCI Barra Research Paper No. 2010-07
Number of pages: 7 Posted: 07 May 2010
Working Paper Series
MSCI Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 404
28.

A Look at the Liquidity Factor in GEM2

MSCI Barra Research Paper No. 2008-04
Number of pages: 6 Posted: 24 Jan 2009
Working Paper Series
MSCI Inc.
Downloads 364
29.

International Diversification from a UK Perspective

MSCI Barra Research Paper No. 2009-11
Number of pages: 21 Posted: 09 Apr 2009
Working Paper Series
MSCI Inc. and MSCI Inc.
Downloads 362
30.

The Effects of Risk Aversion on Optimization, February 2010

MSCI Barra Research Paper No. 2010-06
Number of pages: 28 Posted: 07 May 2010
Working Paper Series
MSCI Inc. and MSCI Inc.
Downloads 360
31.

Currency Hedging - A Free Lunch?

MSCI Barra Research Paper No. 2009-12
Number of pages: 17 Posted: 16 Apr 2009
Working Paper Series
MSCI Inc.
Downloads 355
32.

The 2008 Crisis and Global Fixed Income Risk

MSCI Barra Research Paper No. 2008-03
Number of pages: 9 Posted: 24 Jan 2009
Working Paper Series
MSCI Inc.
Downloads 349
33.

Sequential Defaults And Incomplete Information

Number of pages: 30 Posted: 30 May 2004
Working Paper Series
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 347
34.

Beyond Normal Distribution, May 2009

MSCI Barra Research Paper No. 2009-15
Number of pages: 4 Posted: 14 May 2009
Working Paper Series
MSCI Inc.
Downloads 343
35.

Global Investing: The Importance of Currency Returns and Currency Hedging

MSCI Barra Research Paper No. 2011-13
Number of pages: 6 Posted: 23 Aug 2011
Working Paper Series
MSCI Inc.
Downloads 341
36.

Refining Portfolio Construction by Penalizing Residual Alpha - Empirical Examples

MSCI Barra Research Paper No. 2009-19
Number of pages: 8 Posted: 26 Jun 2009
Working Paper Series
State Street Global Advisors, MSCI Inc. and MSCI Inc.
Downloads 341
37.

Understanding the Tails of the Return Distribution

MSCI Barra Research Paper No. 2009-18
Number of pages: 6 Posted: 04 Jun 2009 Last Revised: 19 Aug 2009
Working Paper Series
MSCI Inc.
Downloads 336
38.

Risk Review of China Stock Market, March 2009

MSCI Barra Research Paper No. 2009-08
Number of pages: 6 Posted: 11 Mar 2009
Working Paper Series
MSCI Inc.
Downloads 334
39.

The Long View of Financial Risk

MSCI Barra Research Paper No. 2009-29
Number of pages: 13 Posted: 16 Aug 2009
Working Paper Series
University of California, Berkeley and MSCI Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 331
40.

Creditmetrics and Constant Level of Risk (September 2010)

MSCI Barra Research Paper No. 2010-31
Number of pages: 12 Posted: 14 Nov 2010
Working Paper Series
RiskMetrics Group - MSCI
Downloads 328
41.

Backtesting GEM vs. GEM2

MSCI Barra Research Paper No. 2009-28
Number of pages: 6 Posted: 16 Aug 2009
Working Paper Series
MSCI Inc.
Downloads 325
42.

Delta-Sigma Attribution: Understanding Differences in Risk

MSCI Barra Research Paper No. 2011-16
Number of pages: 9 Posted: 23 Aug 2011
Working Paper Series
MSCI Inc.
Downloads 318
43.

Stress Testing in the Investment Process (August 2010)

MSCI Barra Research Paper No. 2010-28
Number of pages: 19 Posted: 14 Nov 2010
Working Paper Series
MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 314
44.

Identifying Sources of Correlation in Global Equity Portfolios (September 2010)

MSCI Barra Research Paper No. 2010-32
Number of pages: 7 Posted: 14 Nov 2010
Working Paper Series
MSCI Inc.
Downloads 313
45.

t-Statistics for Weighted Means in Credit Risk Modelling

Journal of Risk Finance, Forthcoming
Number of pages: 22 Posted: 19 May 2005
Accepted Paper Series
Florida State University - Department of Mathematics, University of California, Berkeley and University of Louisville - Department of Mathematics
Downloads 310
46.

Capturing the Value Premium

MSCI Barra Research Paper No. 2011-12
Number of pages: 21 Posted: 23 Aug 2011
Working Paper Series
MSCI Inc., MSCI Inc., MSCI Inc. and MSCI Inc.
Downloads 298
47.

Private and Public Real Estate - What's the Link? (May 2010)

MSCI Barra Research Paper No. 2010-21
Number of pages: 16 Posted: 14 Nov 2010
Working Paper Series
MSCI Inc. and MSCI Inc.
Downloads 296
48.

The Relative Strengths of Industry and Country Factors in Global Equity Markets, April 2011

MSCI Barra Research Paper No. 2011-11
Number of pages: 20 Posted: 23 Aug 2011
Working Paper Series
MSCI Barra and MSCI Inc.
Downloads 287
49.

Value Stocks and the Macro Cycle

MSCI Barra Research Paper No. 2011-05
Number of pages: 15 Posted: 03 Feb 2011
Working Paper Series
MSCI Inc.
Downloads 276
50.

Capturing Equity Risk Premia (August 2010)

MSCI Barra Research Paper No. 2010-29
Number of pages: 29 Posted: 14 Nov 2010
Working Paper Series
MSCI Barra and MSCI Inc.
Downloads 275