Equities
Imperfect harmony: industry balks at EU foreign venue rules
Proposal could force non-EU platforms to choose between following Mifid II and 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
China A-shares: traders want access to onshore funding
Inclusion in MSCI will drive CNH squeeze unless CNY market is opened or settlement extended
Risk-return dominance of US ‘big five’ a myth, data shows
US stock markets less exposed to a ‘Gafam factor’ than assumed, says La Française Investment Solutions
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Mifid fuels Asian equities e-trading surge
Firms with European clients find low-touch channels help to prove best execution
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Mifid data: hard to access, hard to use
Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
La Française finds success in focus on quantitative premia and credit strategies
Launching a hedge fund business in February 2013 may have seemed an unusual move at the time, but for the co-founders of La Française Investment Solutions (LFIS) it has proved a logical and successful one
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
Lifetime achievement award: Xavier Rolet
Risk Awards 2018: Eight-year tenure transformed LSEG, but one big deal got away; exchange now faces Brexit risks and Mifid opportunities
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products