A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Plan for expeditious timeframe set aside to delight of banks worried about retaining capital breaks
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
New local centre aims to channel orders in bulk, cutting price slippage
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
Firm combs through information about its portfolio managers for signs of bias and bad habits
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Net derivative liabilities fall 95% year-on-year
In this paper, the authors focus on seven stock market indexes: two US, three European, one emerging and one Japanese. They select different pairs of markets and, with the help of wavelets, decompose these series at different timescales.