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Value factor strategies ripe for revival, quants say
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
BlackRock shelves unexplainable AI liquidity models
Risk USA: Neural nets beat other models in tests, but results could not be explained
Imperfect harmony: industry balks at EU foreign venue rules
Proposal could force non-EU platforms to choose between following Mifid II and ditching EU firms
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Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
After Nasdaq, cracks appear in foundation of clearing
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
Big Figure
German stress
German lenders were hit hardest by European Union-wide stress tests, having been projected to lose 28% of their Common Equity Tier 1 capital under the adverse scenario. Eight of the nation's banks were included in this year’s stress tests, with combined CET1 capital at end-2017 of €148 billion ($169 billion). At the end of a three-year stress period, the firms were projected to lose a combined €41 billion. Of this, Deutsche Bank alone accounted for 46%.
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