Indexes
Investment product of the year: JP Morgan
Risk Awards 2019: JPM’s big February winner points way forward for investable indexes
Index provider of the year: ERI Scientific Beta
Risk Awards 2019: Clients are flocking to Edhec offshoot for its bookish approach
Innovation of the year, Asia: BOCI
Energy Risk Asia awards, 2018: Bank of China International launches first broad-based Chinese commodity index
Asia moves: SFC names new chairman, LCH hires regional head, and more
Latest job changes across industry
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Mattatia makes surprise move to MSCI
Former SG equity derivatives structurer was set to join BNP Paribas
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Does the impact of exchange-traded funds flows on commodities prices involve stockpiling as a signature? An empirical investigation
This paper examines the relation between the flows into the three main commodity index exchange-traded funds (ETFs) and the prices, inventory and term structure of four energy and twelve US-traded agricultural contracts.
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Pensions shackle UK to RPI linkers, say traders
Carney’s call to end use of flawed inflation index faces obstacles
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
The DIY approach to China bond investing
Lack of international ratings means foreign investors will need research resources of their own
Index provider of the year: Bloomberg
Risk Awards 2018: Indexer is helping boost liquidity with new China indexes and standardised swaps
Indexer looks to tap quant fund demand for big data
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Seeds of destruction? Funds grapple with index effect
Rapid growth fuels anxiety over passive sector’s vulnerability to frontrunning
Some banks find huge margin savings by breaking up indexes
Splitting equity and commodity indexes can halve initial margin, but not everyone can do it
Index rule change could test bond market liquidity
More than 1,000 bonds will be removed from the Barclays US Agg on April 1
‘Great rotation’ highlights clash over unseen risks in factor investing
Gaps in performance of apparently similar products rekindle debate on index construction
Bank CDSs straining under TLAC
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
Synth City: how synthetic dividends could save autocallables
New indexes promise higher coupons and lower dealer hedging costs