Correlation
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
A pairwise local correlation model
In this paper, the authors develop a new local correlation model that uses a generic function 'g' to describe the correlation between all asset–asset pairs for a basket of underlyings.
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Energy Risk Asia Awards 2018: The winners
BNP Paribas takes Derivatives house, BP wins Oil & products and BOCI and Engie scoop two awards each
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
Tenets of investment, upended
Faith in correlations has been sorely tested as markets tear up one long-held maxim after another
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Denmark’s ATP warns of inflation threat to risk parity
Pension fund cuts risk to guard against correlation switchback
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Chinese banks pose increased risk to euro area – ECB
Growing number of Chinese lenders designated as systemically important
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Underperforming performance measures? A review of measures for loss given default models
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations