Risk Awards 2020: Fund giant gave more risk work to machines this year - from duration hedging to op risk
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
US insurer posts $1 billion in realised and unrealised losses
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Solvency II has pushed firms to run positive duration gaps
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Companies prepared to take ALM mismatch to access higher yields on reinvestment
US structurer of the year
The encroachment of Solvency II
Popular risk mitigation strategies could be sunk by new rules on the designation of hedges
Basel II will segment the market for firms providing IT services to banks.