Implied credit charges could triple under one approach being field-tested by regulators
This paper presents a clearinghouse framework to establish initial margin requirements for portfolios of credit default swap instruments.
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In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Internal and external clients benefit from utility’s risk management skills
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Pay packets up in 2014 as average hedge fund returns 3%
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these …
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
AUM and performance appear intrinsically linked
Close relationships with hedge funds and Lyxor staff are at the heart of its reputation for independent research, asset management, its managed account platform and its other activities globally
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