Investment
State Street suffers largest loss from securities sale since 2010
$294 million hit drives net income down 45% to six-year low
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
The authors offer an estimate of how much incremental wind energy development could happen while avoiding inadequate investment incentives for wind and natural-gas-fired generation in day-ahead and real-time markets.
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
The evolution of buy-side risk: managing the emerging importance of liquidity and climate risk
Risk managers have a tried and tested toolkit for market risk, but recent events and developments have highlighted the need for increasing rigour around liquidity risk and climate risk. This webinar explores the evolving scope of buy-side risk management…
On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompleteness”
The author put forwards a means to mitigate asset risk and valuation uncertainty risk which relies on investors conditioning valuations of new assets on a dynamically evolving intertemporal mechanism
A European liquidity pool for bitcoin futures has arrived
Eurex’s new FTSE Bitcoin Index Futures contracts can help investors remove regulatory uncertainty from their crypto investments
Chartis RiskTech Buyside50
The second annual RiskTech Buyside50 ranking from Chartis Research outlines notable trends in the buy side and ranks the key players operating within it, focusing on solutions, industry segments and the scope and breadth of investment lifecycle…
Asia moves: Senior hires at BNP Paribas, BNY Mellon and more
Latest job news from across the industry
On capital allocation under information constraints
This paper offers a portfolio optimization framework that uses return data to calculate an optimal capital allocation based on a Cobb–Douglas utility function.
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
Active versus passive investment in declining markets
The latest S&P Indices versus Active (SPIVA®) Scorecard provides an update on the active versus passive investment debate
Managing a high-inflation environment with clearing
Recent geopolitical events, macroeconomic forces and market disruptions have created significant challenges for the investment community. LCH explores how clearing can help market participants manage inflation.
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March
Some investors see value in beaten-down AT1s
CoCos are trading at a discount on fears that European issuers won’t call the bonds. But buy-siders say this risk is overstated
An experimental study of capacity remuneration mechanisms in the electricity industry
The authors investigate the efficiency properties of energy market designs with regard new investments, reductions in unserved energy frequency and energy prices of a generic capacity remuneration mechanism impervious to the forward capacity market.
Asia moves: Senior hires at Citi, Nomura and more
Latest job news from across the industry
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Fixed income ‘big 3’ tap Finbourne for EU consolidated tape bid
Bloomberg, Tradeweb and MarketAxess select tech partner to jumpstart cash bond tape ambitions
Asia moves: Senior hires at Natixis CIB, Citi and more
Latest job news from across the industry
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences