State Street develops vol regime-switching analytics

foley-jpg
Researchers at State Street Global Advisors (SSGA) have found that market volatility states persist for discrete periods of time before shifting to higher or lower volatility states. They have developed a system to anticipate these state changes for use in optimising the Boston-based asset management firm’s investments.

SSGA, with $663 billion in assets under management, was faced with the challenge of integrating exceptionally high or low volatility periods into its risk measurement systems.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: