Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
An optimised portfolio can look very different when extreme moves are given more weight
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Trading risk gauge reached the highest since Q2 2020
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Long-established inverse correlation between asset classes breaks down during first quarter
Multiple output floors applied to each entity raises fears of capital increase for large groups
Trading risk gauge surged 17% through Q4
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
Average trading VAR down 59% over the previous quarter
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Ultra-low rates force investors to rethink role of fixed income as diversifier
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Equity-debt correlation breakdown and negative bond yields make investors nervous
Amid a global push towards green policies, the reality of overhauling how industries worth trillions of dollars operate is causing concern. A forum of market participants and sponsors of this report discuss the levels of awareness of climate risk and its…
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China
Based on a broad sample of Chinese listed firms for the period 2001–10, this study investigates the effect of stock price crash risk exposure on the cost of equity capital and uses the split share structure reform as an exogenous shock to test whether…
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…