Technical papers / Insurance Risk
Hamza Bahaji, Stephanie Ridon and Emmanuel Bourdeix propose a tracking error driven allocation approach applicable to a broad equity universe
The case for targeting core rather than headline inflation for long-term hedgers
A universal law for optimally dealing with proportional transaction costs
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Technical papers / Insurance Risk articles
Portfolio construction and systematic trading with factor entropy pooling
Defined benefit pension strategy with stochastic volatility
Impact-adjusted valuation and the criticality of leverage
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.