Diversification
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Loss of diversification benefits ‘will drive higher FRTB charges’
Independent study backs industry’s claims of significant rise in market risk capital requirements
Foreign funds are bulls in China’s onshore commodity futures
Growing participation from overseas investors is boosting liquidity in what’s already a boom market
FX alternative risk premia as a key diversifier for equity bond portfolios
Siddharth Grover, head of QIS structuring at BBVA, discusses how the BBVA FX Risk Premia Indices can aid investors seeking diversification, and provides insight into potential trends moving forward
A guide to home equity investments: the untapped real estate asset class
This report covers the investment opportunity in untapped home equity and the growth of HEIs, and outlines why the current macroeconomic environment presents a unique inflection point for credit-oriented investors to invest in HEIs
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA
Cboe’s new options add diversity and liquidity to the credit market
Cboe has recently launched two options on futures products to help investors manage exposure and mitigate risk in corporate bond portfolios: options on iBoxx high-yield corporate bond index futures (IBYO), and options on iBoxx investment-grade corporate…
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Diversification is even better than a free lunch – study
Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
EU lawmakers’ demand for local capital floors alarms banks
Multiple output floors applied to each entity raises fears of capital increase for large groups
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
An examination of the tail contribution to distortion risk measures
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.