Asset management
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Machine learning study identifies eight risk factors in private equity
Allocators may be unwittingly concentrating their bets in private equity funds, research suggests
CFTC’s equivalence plan divides clearing houses and clients
US end-users prefer alternative compliance, but foreign CCPs want exempt status
Insight Investment wary of banks’ last-look claims
Buy side should “team up” in bid for more forex transparency, argues senior trader
Allianz Global Investors adopts NLP signals in equities
Move to tackle unstructured data starts with sell-side analyst reports
Buy side seeks non-cleared margin relief for SMAs
Sifma AMG calls for $50 million IM exchange threshold to be set annually
Neuberger sidesteps option gap risk using AI and credit card data
Random-forest algorithm run on retail transaction data forewarns of earning shocks
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
Buy side seeks more clarity on FX trade rejects
Schroders and BoE criticise code mish-mash, as Investment Association presses for standardisation
Post-Woodford, State Street has an idea on liquidity risk
You’ve heard of the liquidity coverage ratio. Try the ‘redemption coverage ratio’ for funds
HKEX: Hong Kong should not fear China investment rule change
Confidence in city’s legal framework remains a key advantage as China loosens QFII rules, says risk chief
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
In JP Morgan’s JV buy, some see snares of China
The US firm paid a ‘ransom’ for JV control. Others mull what that means for their own China strategy
Swaps data: analysing the US rates collapse
Prices collapse and expected worst-loss numbers hit new records
Algo fears spark hunt for neutral checks on forex code compliance
Banks seek third-party quantitative methods for confirming activities done in their names are aligned with the principles
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Margin Xchange iced after regulators lift IM burden
A&O-backed platform quits two-horse race, leaving Linklaters-backed service with a clear run
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
Korean regulator likely to probe issuers of rate-linked products
Mis-selling enquiry may extend to structuring banks as global rates plunge threatens retail notes
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end