Asset management
Acadian ends social media data ties with Microsoft Bing
Quant asset manager says it finds more use in orthodox sources of data
Insurance experts downplay fears about risk margin
BoE paper’s prophesies of lower investment and thinner liquidity are too dramatic, specialists think
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
Buy side fuels boom in single-name CDS clearing
Ice single-name CDS volumes double year on year following switch to semi-annual rolls
Non-banks disappointed by Europe’s CRR escape hatch
Proposed alternative prudential regime still doesn’t reflect the true risks of non-banks, say critics
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Risk Chartis Market Report: Buy-side risk management technology
Sponsored by OpenLink and Tradeweb
Buy side must clear hurdles to revive CDS liquidity
Some firms forced to watch from sidelines as voluntary clearing of single-name CDSs takes off
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Relief for EU money market funds on liquidity buffers
Final compromise regulation not expected to trigger large fund reallocations
Industry at the crossroads: Facing up to disruption and digitisation
Sponsored Q&A: Custody Risk Global Awards 2016 | Multifonds
Flylets and fixed-income portfolio risk management
Sponsored Q&A: Buy-Side Awards 2016 | Tudor Investment Corporation
De-risking pension funds across the board
Sponsored Q&A: Buy-Side Awards 2016 | Prudential Financial Inc
ESG trends: Casting the net wide and deep
Sponsored Q&A: Buy-Side Awards 2016 | Conning
Beat equal weighting: a strategy for portfolio optimisation
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Great expectations: The pensions market in 2017
Sponsored Q&A: Buy-Side Awards 2016 | Rothesay Life
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Quant jobs at risk from tech advances
But humans and 'intelligent' computers a strong combination, hedge fund managers say
Money, Collateral and Safe Assets
By: Manmohan Singh and Peter Stella
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
China leverage clampdown to hit two-tier structured products
Product issuers look to derivatives to boost returns, but options are limited