Portfolio
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
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Portfolio managers' pay up 8% as capital flows back to funds
Pay packets up in 2014 as average hedge fund returns 3%
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…