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Guillermo Cano
Executive Director, MSCI Research
Guillermo Cano is an Executive Director on the Index Solutions team, focused on working with asset owners on global and factor index strategies. Previously, he held several roles at FTSE Russell, including Director of Alternatively Weighted Indexes for the Americas and Europe. Guillermo holds an MBA in Finance and Accounting from the University of Washington and a BA in Music and Business Administration from the University of Miami.
Research and Insights
Articles by Ludovic Breger
Fixed Income Risk Modeling
Research Report | Jun 1, 2005 | Ludovic Breger, Oren CheyetteComprehensive overview of the use of factor models for fixed income risk modeling.
Correlations in Global Credit Markets
Research Report | Mar 1, 2005 | Ludovic Breger, Darren StovelThe findings of this study highlight a number of implications for managing credit portfolios. We have observed that the investment-grade vs. high-yield distinctions should be made when assessing correlations and credit risk diversification. As spreads on speculative instruments tend to be dominated by issuer specific factors rather than market-specific factors, bonds from the same issuer in different markets tend to be highly correlated; bond correlations across markets for high-grade issuers...
Market Implied Ratings
Research Report | Jul 1, 2003 | Ludovic Breger, Oren Cheyette, Lisa GoldbergIn recent years, the growth of the global credit market has been spectacular. From an investor perspective, this has created many new opportunities for higher returns and diversification, but a careful management of risk is more necessary than ever. In this context, measures of credit quality are becoming an increasingly important reference. Agency ratings are a standard measure of credit quality. The question of capital requirements and the recent collapse of several high-profile large...
Fixed Income Risk Modeling for Portfolio Managers
Research Report | Jan 1, 2003 | Ludovic BregerThe European credit market, consisting mainly of euro and sterling denominated debt, is second only to the US domestic market in terms of size, influence and liquidity. Not surprisingly, European securities are becoming common in global portfolios. The recent turmoil in credit markets has shown once again that understanding risk is or should be a critical aspect of portfolio management. However, as the European credit market is a mosaic of widely different instruments, issuers, and...
The Barra Credit Series: Market Implied Ratings
Research Report | Jan 1, 2003 | Ludovic Breger, Oren Cheyette, Lisa GoldbergIn recent years, the growth of the global credit market has been spectacular. From an investor perspective, this has created many new opportunities for higher returns and diversification, but a careful management of risk is more necessary than ever. In this context, measures of credit quality are becoming an increasingly important reference. Agency ratings are a standard measure of credit quality. The question of capital requirements and the recent collapse of several high-profile large...