Portfolio
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
Are there multiple independent risk anomalies in the cross section of stock returns?
Using multivariate portfolio sorts, firm-level cross-sectional regressions and spanning tests, this paper shows that, in the cross section of stock returns, most commonly used risk measures in academia and in practice are separate return predictors with…
BlackRock’s 65% of AUM accounts for 1% of global emissions
Asset manager’s absolute emissions linked to corporate securities and real estate stood at 330.7 million tons of CO2e in 2020
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
TCFD backs carbon disclosure, but not temperature scores
Influential standard setter decides the implied temperature rise ‘is not ready’ for funds
Stock-level ‘inelasticity’ explains ESG boom, research says
Reluctance of ESG investors to sell holdings is pushing prices even higher
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning
Margining solution of the year: IHS Markit
Asia Risk Awards 2021
Default risk set to rise from climate inaction – ECB
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
AI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Correlated idiosyncratic volatility shocks
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
