A risk decomposition by fund manager, factor or instrument is proposed
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
This paper studies how correcting for the order of differencing leads to altered filtering and risk computation for inferred networks.
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Clearing house testing new Span 2 framework with members, more work needed with vendors
Investors should switch between factors as alphas change, says quant
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Study shows even the most modern default models benefit from adding credit rating information
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
Market bounce-back blindsided quant investment firm – and others
March’s volatility forces dealers to fine-tune hedging strategies
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Autoencoders can detect changes in relationship between assets in real time
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
Currency options are cheap relative to stock index puts, but correlations are uncertain
Equity-debt correlation breakdown and negative bond yields make investors nervous
Losses put at roughly $150m – even before markets tanked on March 9
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…