Portfolio
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Commerzbank cuts loan charges in wake of IFRS 9
German lender posts “risk result” – costs associated with changes to loan-loss provisions and remeasurement of assets – of €77 million in March
ABN Amro incurs €208 million of impairment charges
ABN Amro’s first quarter profits hit by transition to IFRS 9 impairment methodology
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
Allstate posts lower investment returns
Limited partnership income falls in first quarter
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
Santander reaps capital benefit with close of toxic asset sale
The bank aims to have CET1 above 11% by end-2018
A risk-based approach to construct multi asset portfolio solutions
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Global harmony – Educating firms on the new Common Reporting Standard
TMF Group explores how educating organisations on the approaching Common Reporting Standard can fix problems presented by discrepancies in the standard’s interpretation across different jurisdictions
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
Cumulative prospect theory and mean–variance analysis: a rigorous comparison
This paper proposes a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
Initial margin estimations for credit default swap portfolios
This paper presents a clearinghouse framework to establish initial margin requirements for portfolios of credit default swap instruments.
Beyond modern portfolio theory: Probabilistic scenario optimisation
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Risk constraints for portfolio optimization with fixed-fee transaction cost
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Risk manager of the year (utility): GDF Suez Trading
Internal and external clients benefit from utility’s risk management skills