Buy side
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Wall Street vets vie to be BlackRock of crypto
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
Honesty is key to machine learning’s future – Roberts
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Blazing new analytical paths: Tackling data aggregation for new risk insights
As the risk function’s influence continues to grow within financial services firms, demand for quality integrated risk data to support a wider range of business-critical decisions is stretching the capabilities of existing technology to breaking point. A…
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Nomura plans more hires in equity derivatives, eyes China
Unit head also sees potential in Hong Kong listed market and in demand for bespoke products
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
IFRS 17 Special report 2019
The insurance industry has long been vocal about the need for a two-year extension to the International Accounting Standards Board’s (IASB’s) proposed 2021 implementation date for International Financial Reporting Standard (IFRS) 17 – the accounting…
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Industry lukewarm on proposed ‘quick fixes’ to Priips rules
Many fear performance scenarios will remain misleading and expose providers to mis-selling claims
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
Doing well by doing good
Drug approval swaps and megafunds can channel capital towards world’s greatest problems, writes MIT’s Lo
Buy-side quant of the year: Gordon Ritter
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
Rumble in the IM jungle: how new platforms match up
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
UK pension funds may have to clear, post-Brexit
Delays to Emir review raise fears that UK schemes may lose exemption
CME abandons buy-side direct clearing initiative
CCP shutters plan after feedback from regulators and market participants
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
Hedge fund giants lead fourth wave of IM candidates
BlueCrest, Capula, Citadel, Millennium and Rokos expected to be in scope for next phase of margin rules
