In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
Proponent of big-picture investing sees growing role for machines, but with caveats
Outmoded classifications of securities may be concealing market risk. AI has a better idea
Quants say probabilistic programming beats machine learning in balancing strategies
Machine learning shows promise in grouping assets better, predicting regime shifts
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
Total Auca stood at $94.4 trillion at end-September
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to…
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
Life insurers report median zero investment return in 2018
Dutch firms have more than 25% of total assets tied up in non-traditional investments
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
IFRS 9 lops 37 billion yuan from investment return
Surge in values near year-end hint at hedging gains
Around 60% of EU hedge fund borrowings due within one week, Esma reports
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Latest job changes across industry
Reinsurer clips US, UK, Italy holdings
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Solvency II-compliant infrastructure investments concentrated in handful of firms
Securitisations make up just 0.5% of portfolios; property 2.7%