Portfolio management
Asia moves: Deutsche appoints Asia-Pacific treasurer, Citi boosts Australian sales team, and more
Latest job news across the industry
EU funds shudder at Mifid transaction reporting plan
Repeated Esma recommendations would increase costs of single portfolio management services
Asia moves: Crédit Agricole appoints Hong Kong CEO, UBS sales head joins Morgan Stanley, and more
Latest job news across the industry
Powering through tough times
Hitachi ABB Power Grids’ dominant position in Energy Risk’s 2021 Software Rankings reflects its deep understanding of current market challenges
Covid-19 prompts buy-side rethink on stress tests and risk integration
FactSet explores why asset managers and owners are deploying novel bank-quality modelling and alternative datasets as they take aim at risk-informed portfolio management
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
A winning formula – Risk’s rising role in investment strategy
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,…
Rent-a-fund managers rebuff ‘misguided’ Esma criticism
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
The evolution of pricing bonds and the data journey
Jason Waight, head of regulatory affairs, Europe at MarketAxess, considers why access to flexible data is key to using new trading protocols in fixed income
Pricing data in fixed income markets – Is transparency truly an issue?
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explains how investment in commercial transparency solutions has proven itself in 2020, and why this leaves a question mark over the potential value of a centralised bond tape
Confidence in pricing data is essential in a distressed market
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explores the key role of reliable data sources in offering a commercial advantage to traders during the March crisis
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Lighting up the black box: a must for investors?
Many contend you must be able to interpret machine learning in order to use it
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Competitive differentiation – Reaping the benefits of XVA centralisation
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…
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
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…
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
PRA drops ‘timely’ payouts in credit risk insurance
Plan for expeditious timeframe set aside to delight of banks worried about retaining capital breaks
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios