The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
A framework for rates that links real-world and risk-neutral measures is presented
HSBC quant makes case for looking at collateral and funding rates in concert
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
Running climate stress tests on bond portfolios is a nascent exercise for many asset managers. MSCI looks at what to consider when optimising bond portfolios for climate exposures
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Investors should switch between factors as alphas change, says quant
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
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