Emerging markets
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing the authors to identify models that are valid for use in emerging markets.
New directions – Diversification of alternative risk premia strategies
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…
SGX to exit swaps clearing business
Decision will leave some contracts without a CCP from next April
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Modelling the tweetstorm? Political risks vex EM funds
Digital fusillades have heightened the risks facing emerging market investors
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
Best execution in Asia faces data deficit
Lack of trade information undermines Mifid-style shake-up of investment activities
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Chinese banks pose increased risk to euro area – ECB
Growing number of Chinese lenders designated as systemically important
Three Asian FX fixings threatened by benchmark rules
European regulations would block use of fixings that account for 40% of LCH NDF volumes
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Loans to offshore centres surge
Total claims surpass pre-crisis peak
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
New historical bootstrap value-at-risk model
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
Asian banks cry foul over FRTB’s currency risk weights
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head
US banks fear margin rules could hit emerging Asia liquidity
Unequal margining requirements may be a turn-off for local counterparties
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Fixed-income investing: The new world order
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