Equities
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
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…
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Transition management provider of the year: Northern Trust
As pension plans increasingly focus on the underlying costs and fees involved in managing their money, opportunities for transitions have shifted. Northern Trust is standing out by offering customised transition solutions for clients and stakeholders in…
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
Risk Awards 2019: The winners
BNP Paribas wins derivatives house; lifetime award for Craig Broderick; CME takes clearing house award
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2019: Risk management overhaul helps market-maker navigate February 5 volatility
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Value factor strategies ripe for revival, quants say
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
Imperfect harmony: industry balks at EU foreign venue rules
Proposal could force non-EU platforms to choose between following Mifid II or ditching EU firms
Hong Kong ETFs spotlighted amid growing A-share interest
Hong Kong’s exchange-traded fund market takes centre stage in international investors’ foray into Chinese markets, experts say. By Hong Kong Exchanges and Clearing (HKEX)
NSCC posts $137m margin breach
Securities CCP records largest margin shortfall since public disclosures began
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
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