Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Market sell-off in Q2 has increased cost of buying back notes mis-sold by the bank in 2019
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
This paper explores the day-of-the-week impact and efficiency of the stock markets in Mexico, Indonesia, Nigeria and Turkey by using closing prices of a major index from each stock market.
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Jaspreet Duhra, S&P Dow Jones Indices (S&P DJI), explores the opportunities that came out of the 2021 UN Climate Change Conference in Glasgow, and why S&P DJI will continue to produce rules-based indices that align with a 1.5° Celsius scenario
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
In this webinar, three experts from FTSE Russell, Natixis and Eurex discuss the emerging equity derivatives landscape in the UK and Europe post-Covid recovery
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
An online webinar hosted by Tradeweb and convened by Asia Risk explores the importance of directives and timings being clearly laid out by regulators in the transition away from Libor
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
Short volatility players try to box clever after strategy’s Covid rout
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
Poor disclosure, sub-par returns and share dilution are highlighted as risks of so-called ‘blank-cheque’ companies