With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Influential standard setter decides the implied temperature rise ‘is not ready’ for funds
Reluctance of ESG investors to sell holdings is pushing prices even higher
The P&L distribution of a complex derivatives portfolio is computed via deep learning
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
PanAgora develops two-stage process that aims to weed out the greenwashers
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Wells Fargo worst performer in latest DFAST exercise
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…
Latest job news across the industry
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
$70bn investor rethinks LDI strategy to take into account paltry yield from fixed income
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Opinion divided over proposed tool for transferring risk of non-sustainable activities
Pandemic prompts a switch in approach from strategic to tactical
Risk.net surveyed 124 asset managers and hedge funds to explore the changing role risk offices play in the evolution of investment strategies, from early-stage product development through to portfolio management and re-evaluation, and the key financial,…
Social intel proves elusive as virus reawakens sense of corporate virtue