Articles by Luke Smolinski
Reinsurers take on role providing Solvency II capital relief
Firms such as RGA are covering surrender risk, offering to replicate matching adjustment
Insight pushes ahead with plans to re-plumb repo
Investment manager says non-bank repo now makes up tenth of its book
Quants find hidden currency risk in domestic stocks
Pure exposure to home equities harder to isolate than previously thought, new paper says
Quant funds look past the obvious for uses of alternative data
Many systematic investors are sceptical but a few are finding ways to make new data work
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Acadian ends social media data ties with Microsoft Bing
Quant asset manager says it finds more use in orthodox sources of data
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
Insurance experts downplay fears about risk margin
BoE paper’s prophesies of lower investment and thinner liquidity are too dramatic, specialists think
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
Overlooked yield-curve measure a ‘proven indicator’ of stress
Location of bump in term premia foreshadows business cycle in 15 months, thinks research firm
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Wolfe aims to shake up research with AI push
Mifid II and the rise in computing power is helping boutique shops challenge the banks
The race to find a factor-timing model that works
BlackRock, Man AHL, Research Affiliates and UBS believe they can successfully time risk premia
Keeping faith: IAIS rebuffs view G-Sii concept will die
But firms see workplan announcement as step away from focus on high-risk entities
Full up already? Industry divided over smart beta capacity
Research Affiliates argues trading costs will wipe out returns; critics say assumptions overblown
Late adopters: why buy-siders are sticking to RFQ
Asset managers have been slow to embrace alternative trading protocols in fixed income
Buy-siders weigh virtues of P2P repo
Tradition's platform is attracting interest, but obstacles remain to peer-to-peer repo
Eiopa stress test highlights UK reliance on matching adjustment
Tests reveal how unwelcome any watering down of key measure would be
New hedge fund plans on grabbing flash-crash profits
Manager says systemic risk has reduced, creating opportunity in sell-offs
Hedge funds seeking cheap hedges for Italian referendum
Buy side turning to Brexit-inspired hedges for political tail risk
Treating sovereign bonds as risk-free ‘courageous’ – Parente
UFR update needed for credibility; too early to change risk margin, Eiopa director tells conference
Supervisors must police activities, not entities – Allianz’s Buecheler
Regulatory chief welcomes debate moving beyond ‘too-big-to-fail’
Pension funds cautioned on equity-bond correlation
Buy-siders need to plug changes into VAR, say risk managers
Buy-side risk managers doubt own liquidity metrics
Risk Hedge Europe attendees say they lack formal measures of liquidity