ARR aims to anticipate volatility patterns to provide signals for risk management and trading
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Some studies say the algorithms beat the common models; other studies say the opposite
Random forest technique sheds light on flux in how factors mix, manager says
Stock selection trounces “tempting” factor timing in study
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
Firm says conventional investing wisdom is missing out on alpha
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
Large-cap momentum picks up after open, before close
This paper identifies the determinants behind the dynamics of the real-time settlement payment system in Mexico, SPEI, during the period January 2005–December 2015.
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
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A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default
This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs).
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Factor models can be helpful in identifying unseen risks in investor portfolios
This paper presents a solution to a common problem in asset and portfolio risk, when a manager has such a short history of asset returns that risk and performance measure estimates are unreliable.
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
Risk management must be folded into investment decision-making process
Putting theory into practice