Portfolio
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
Approximate risk parity with return adjustment and bounds for risk diversification
The authors approach diversifying risk contributions to improve returns by satisfying approximate risk parity and providing bounds on a risk spread (RS) metric that quantifies risk diversification and takes returns into account.
Expert vision, efficient execution
Why more investors are turning to third-party portfolio implementation platforms to maximise efficiency and impact
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
Formulations to select assets for constructing sparse index tracking portfolios
The authors put forward methods to chose assets for sparse index tracking portfolios and demonstrate the tracking performance with numerical examples.
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
The evolution of portfolio strategies: Special report 2024
This report explores the dynamic evolution of portfolio management and investment strategies, addressing challenges, technological advancements and ongoing innovations
Vida’s ongoing journey: innovating portfolio solutions
J.P. Morgan’s Gurps Kharaud and Francesco Chioccola discuss Vida Portfolio Solution's ongoing innovation
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
A guide to home equity investments: the untapped real estate asset class
This report covers the investment opportunity in untapped home equity and the growth of HEIs, and outlines why the current macroeconomic environment presents a unique inflection point for credit-oriented investors to invest in HEIs
Choppy inflation may be the worst inflation
Investors can build strategies to suit fast-rising prices, or slow-rising prices. What trips them up is the inflation foxtrot: slow, slow, quick, quick, slow
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Can ChatGPT unlock better investment portfolio selection?
This white paper explores the potential uses of generative AI models, such as ChatGPT, for investment portfolio selection.
SMFG loads up on foreign bonds
A 34% quarterly rise swells non-domestic portfolio to record size
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Integrated stock–bond portfolio management
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
Energy credit risk benefits from next-generation technology
Advances in energy credit risk technology are improving the accuracy and efficiency of the credit risk function, says credit risk technology expert