Asset management
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Regulatory constraints – How increased requirements are evolving CPM
Amnon Levy, managing director and head of portfolio and balance sheet research at Moody’s Analytics, discusses the evolving expectations of institutions for credit portfolio management, as well as how it is being altered and adapted amid greater impact…
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
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
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
The DIY approach to China bond investing
Lack of international ratings means foreign investors will need research resources of their own
UBS AM plans new generation of quant tools for stock pickers
Bryan Cross thinks ‘man plus machine’ investing will flourish
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
Quants find hidden currency risk in domestic stocks
Pure exposure to home equities harder to isolate than previously thought, new paper says
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
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
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list
Kicking the can: global insurance deal highlights divisions
IAIS hails “unified path” on insurance regulation, but Europe frustrated by US exceptionalism
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
Softened liquidity rule would still be ‘misguided’
Treasury proposals welcome, firms say, but watered-down SEC rule would leave risks unaddressed
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
Bridgewater’s Murray on radical transparency and op risk
Risk30 profile: “People think we’re crazy,” says giant fund’s co-CEO of its unique approach to op risk