Portfolio
Fund size and the stability of portfolio risk
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Eigenportfolios of US equities for the exponential correlation model
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
Investors trade the drama out of the crisis
How LGIM, Axa IM, Manulife and other buy-siders tackled the toughest markets since 2008
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
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…
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
Coping with uncleared margin rules – the tricks, traps and tools
A unique insight on the evolving UMR strategies of 110 banks and buy‑side firms
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation