Beta
Emerging markets forex offering opportunities all the way from local...
The emerging markets continue to provide access to the kind of volatility not seen in developed markets since financial markets started to become commoditised in the 1970s and 1980s, but there remains...
Tom Rogers, Zurich Insurance Group’s head of strategy implementation, talks to Michael Faulkner about the insurer’s risk-based approach to asset allocation
Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But traditional methods tend to underestimate the forward skew, and mis-price exotics such as...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Beta articles
Alpha commodity indexes: a sustainable source of absolute returns?
Investor interest in alpha commodity index products has surged over the past year and banks are hard at work creating more of them. Can these exotic new instruments really provide a sustainable source of absolute return? And is the market getting too...
Are alpha commodity index products sustainable?
Investor interest in alpha commodity index products has surged over the past year and banks are hard at work creating more of them. Can these exotic new instruments really provide a sustainable source of absolute return? And is the market getting too...
Institutional investors to favour more active, smart beta approach to...
Seeking performance while at the same time increasingly needing to control risk makes smart beta thematic index approaches such as low volatility, minimum variance and risk-weighted strategies increasingly appealing to institutional investors allocating...
Market-consistent equity risk premiums
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Citi reveals dedicated quant investment strategies group
The shake-up at Citi now incorporates a new group, which will specialise in providing indexes and strategies
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation...
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie Carver, he also criticises post-crisis regulation,...
Sigor plans new LDCE to capture operational risk losses since crisis
Working group is also considering raising betas in the Basel II standardised approach to encourage movement towards the AMA, but some say this is not the answer
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Risk OTC Derivatives Clearing Summit
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Risk and Return Brasil - Portuguese
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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