Asset management
Buy side targets leverage cap in SEC derivatives plans
AQR says its managed futures fund could suffer larger drawdowns under new rule
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Managing collateral and liquidity in turbulent times: Preparing for the unknown
Sponsored webinar: BNY Mellon
US public pensions failing on operational risk
Outdated systems and lax controls expose pension plans to 'operational failure'
LV= weighing options for equity-release mortgages
Complex assets left out of matching adjustment application, but could be added when internal model is approved
MetLife Sifi win leaves G-Sii status meaningless – US lawyers
Federal court decision brings whole Sifi and G-Sii designation process into question
Smaller firms get boost on timing for non-cleared margin
Counterparties will be able to offset extra collateral calls, says source close to EBA
End-users shun ‘broken’ US swap market
Negative swap spreads forcing hedgers to look for alternative instruments
Eurex pilots direct clearing for the buy side
CCP predicts 80% reduction in capital charges for banks acting as clearing agents
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Liquidity adds to institutional zest for hedge fund clones
Demand is high for alternative ETFs, despite underwhelming performance
Why raiding CCPs’ initial margin would be bad policy
A wounded CCP should not have a claim on users’ assets, says hedge fund group
Putting a price on long-term life insurance business (part II)
Extending risk-adjusted performance metrics to take into account real-world investment returns
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
Bank names obstruct single-name CDS clearing
Ice is “working through” wrong-way risk issues, may need to revamp auctions
Funds of hedge funds look to focus and diversify both at once
Concentration on largest holdings has grown but average holding size has shrunk
G-Sii process ‘out of touch’, says Axa’s Thimann
Interview: designation approach open to political influence, argues head of group strategy
Liquidity obsession 'irrational', says UK rail pension head
Chief executive of railways pension group says cost controls more important
The future of risk data management
Sponsored webinar: FIS
Life firms irked by patchy matching adjustment approvals
UK regulator could have been more clear about success of bolder submissions, say advisers
UK regulator outlines wish list for Solvency II review
Risk margin “highly pro-cyclical” and ultimate forward rate “completely unrealistic”, says financial policy director
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
Pensions industry says permanent Emir exemption not enough
European Parliament and UK regulator push for carve-out, but industry unimpressed
Buy-siders hope for late reprieve on margining for non-cleared swaps
National supervisors coming round to industry view on same-day settlement, say sources