US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
A combination of machine learning techniques provides multi-period portfolio optimisation
The findings from research into the future of private market asset investing in Asia-Pacific, conducted by Asia Risk in partnership with IHS Markit, shine a light on the reasons private asset allocations decreased across the majority of investors in the…
FactSet explores why asset managers and owners are deploying novel bank-quality modelling and alternative datasets as they take aim at risk-informed portfolio management
Ultra-low rates force investors to rethink role of fixed income as diversifier
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Second-largest US pension fund has also reduced fixed income allocation to 12% as rates have fallen
Total asset portfolios declined 6% through Covid shock
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
Buy-side risk managers and FactSet’s global head of quantitative analytics gathered for a Risk.net webinar to discuss topical risk management trends for asset managers and to consider the industry challenges posed by the recent Covid‑19 pandemic
Crisis puts out-of-vogue practice of “porting” alpha back in play
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