Correlation
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
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
A risk-sensitive approach for stressed transition probability matrixes
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
Quants find hidden currency risk in domestic stocks
Pure exposure to home equities harder to isolate than previously thought, new paper says
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Ranking the economic importance of countries and industries
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
On the correlation and parametric approaches to calculation of credit value adjustment
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
Reputation risk contagion
The aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.