Equities
CCAR compels CET1 build-up at Capital One
The bank is targeting a CET1 capital ratio of 11% in 2018
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Goldman shakes off tax reform capital effects
Stronger regulatory ratios support capital distributions
Citi's core capital ratio drops 70 basis points
Capital returns and tax reform impacts behind decline
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
La Française finds success in focus on quantitative premia and credit strategies
Launching a hedge fund business in February 2013 may have seemed an unusual move at the time, but for the co-founders of La Française Investment Solutions (LFIS) it has proved a logical and successful one
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
Lifetime achievement award: Xavier Rolet
Risk Awards 2018: Eight-year tenure transformed LSEG, but one big deal got away; exchange now faces Brexit risks and Mifid opportunities
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
Quants find hidden currency risk in domestic stocks
Pure exposure to home equities harder to isolate than previously thought, new paper says
Esma navigates a Brexit maze over equivalence
Regulator offers share-trading reprieve for EU firms without relaxing rules for UK
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Acadian ends social media data ties with Microsoft Bing
Quant asset manager says it finds more use in orthodox sources of data
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
This paper proposes an efficient algorithm to value two popular crediting formulas found in equity-indexed annuities – APP and MPP – under general Lévy-process-based index returns.
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts