Hedge funds
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
Penny stock case may hold key to SEC dealer definitions push
Court ruling could set precedent for legal battles over controversial proposal
Lawmakers join pushback over SEC dealer rule
Bipartisan letter to Treasury says proposal would damage market liquidity
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
Hedge funds doubt tall tales around UK short-selling review
FCA has never used powers to ban short-selling, but reporting tweaks would be welcome
BoJ policy shift sends traders to hedge downside yen moves
Hedge funds and corporates rush to FX options following central bank move
SPIVA® institutional scorecard
In this white paper, we measure how well actively managed funds stack up against their index benchmarks over short- and long-term periods
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
Nasdaq takes aim at equity TRSs with bespoke futures
Can custom basket forwards convince buy-side firms to ditch bilateral swaps?
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
The Spikes® volatility index: why methodology really matters
Using reliable indicators to gauge market sentiment is crucial for investors and traders, particularly during times of uncertainty such as the September 21 Federal Open Market Committee (FOMC) Meeting
The statistics of capture ratios
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
LCH mulls FX spot clearing as buy-side demand grows
Anticipated ForexClear service could reduce funds’ reliance on prime broker credit lines
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Key actuarial transformation trends across Apac in 2022
Digital transformation has resulted in growing market complexity. This has been heightened by both the introduction of more regulations for insurers and consumer demand for customised insurance coverage