Equities
Asia moves: BlackRock picks new Asia head, Credit Suisse boosts regional solutions, and more
Latest job changes across industry
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
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
Growing an institutional footprint in Asia’s ETF market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
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
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Python – Is the buzz justified?
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…
Global bank equity dips $230 billion in Q2
UK banks post the largest dollar declines
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
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
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Skin in the game
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
Global bank equity levels returned to growth in Q1
Bank equity level increased by $87 billion in the first quarter
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
House of the year, Korea: Hana Financial Investment
Asia Risk Awards 2018
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…
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios