Asset management
Beyond modern portfolio theory: Probabilistic scenario optimisation
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IBM Algo Risk Service on Cloud with market data
Content provided by IBM
Algo Risk Service on Cloud multi-asset class risk system
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Cloud computing and Solvency II
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Private equity: Advanced modelling techniques for pricing and valuations
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Infrastructure and real estate: Advanced modelling techniques for pricing and valuations
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The benefits of full valuation ALM
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Solvency II: Setting higher goals for competitive advantage
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Wolfe aims to shake up research with AI push
Mifid II and the rise in computing power is helping boutique shops challenge the banks
Lessons from the Mortician: volatility modulation
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Saba’s Weinstein: ETFs ‘destroy value’ in junk bonds
Hedge funds wary of high-yield bonds; blame ETFs for shrinking liquidity premium
Buy side applauds Sonia’s coronation as UK risk-free rate
Decision a ‘no brainer’ but some say rejected secured rates could prove useful
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Eiopa to revisit standard formula calibrations in ‘recurring exercise’
Authority considering periodical reviews to preserve Solvency II’s risk sensitivity
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Power struggle: EU battles for supervisory convergence
European Commission’s review of the three supervisory authorities fraught with difficulties
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Robo-traders and robo-labour
Banks and buy-siders are starting to harvest the benefits of machine learning beyond the front office
Why multi-asset managers shouldn’t count on the past
Risk models are backward-looking but history won’t repeat itself
The race to find a factor-timing model that works
BlackRock, Man AHL, Research Affiliates and UBS believe they can successfully time risk premia
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Research start-up offers quant tips for discretionary investors
Disruptor sees gap in market, created by growing influence of macro factors on trade performance