Fixed income
Optimal design of volatility-driven algo-alpha trading strategies
Guido Giese derives a model for the performance and risk analysis of algorithmic investment strategies that invest in a mixed portfolio of the equity and money markets. It is based on a frequent rebalancing...
Benchmark OTC curves 'will help insurers calculate risk data for market risk models'
iShares is offering a play on uncertainty in the eurozone with the launch of eight ETFs that offer exposure to the sovereign debt of individual eurozone members
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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 Fixed income articles
MSCI and Barclays partner to launch ESG fixed-income indexes
Link-up will allow institutional fixed-income investors to apply ESG investment strategies to their bond portfolios
Fixed-income investors face greater risks from inflation than deflation...
The evaporation of fixed-income yield is set to look even more pronounced when account is taken of inflation expectations, according to an iShares report
Fixed-income ETFs lure the bulls, despite outflows
Although most market participants in Europe are bullish about the outlook for fixed-income exchange-traded funds, money has been withdrawn from this part of the blossoming ETF market this year. Mike Winfield investigates the reasons for this and the divergence...
Japan FSA asks for transparent double-deckers
The Japanese regulator has implemented new rules to increase transparency of complex fund products such as double-deckers, structured products that became popular last year and have been added to with the creation of the triple decker. Viren Vaghela reports...
Japan investors count cost of falling double-decker returns
The double-decker thrill ride for Japanese retail investors may be over after a depreciation in emerging market high-yield currencies shattered profits and regulators stiffened rules. Asia Risk assesses the risks of these products and asks what investors...
Market snapshot
Issuance volumes in the US surged by 60% in January, dominated by leveraged returns, review bonds and kickouts. HSBC led the way, while Investec maintained its lead in the UK market in January. Tim Mortimer reviews the numbers
FVC custom indexes
Generally used as an underlying for growth rather than income products in the US, the S&P 500 index is used as an underlying for approximately 20% of products issued but accounts for roughly 50% of notional products sold. It is the benchmark index in...
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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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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