Intro to LiquidityMetrics

Jun 17, 2013

This Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in light of its liquidity obligations. In particular, this new methodology introduces models for liquidity surfaces of OTC asset classes, where market transparency is limited.

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