Risk
Back to school: BlackRock uses quant quake lessons on Covid
Pandemic prompts a switch in approach from strategic to tactical
Solid foundations – Bridging the transition gap
Phil Whitehurst, head of service development, rates, SwapClear at LCH, explores the potential parallels between forward-looking term Sonia rates and term SOFR rates. He presents his thoughts on the recent announcement of increased powers for the…
Hammer time? Clearers mull co-operation on default auctions
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe
The authors quantify the extent to which the quality of credit rating predictions improves by integrating measures of corporate social performance (CSP) in an established credit risk model. Their analysis provides comprehensive evidence of the…
Derivatives house of the year, Asia ex-Japan: UBS
Asia Risk Awards 2020
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.
Letting go of Libor – How banks and buy-side firms are navigating the road to transition
Libor’s demise as a trusted benchmark presents a seismic challenge to the financial services industry. As time ticks down to its planned replacement in 2021 and alternative rates and new products emerge, market participants must determine the risks to…
Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors
Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts’ (REITs’) herding behaviors.
The econophysics of asset prices, returns and multiple expectations
The author models interactions between financial transactions and expectations and describe asset pricing and return disturbances.
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
Strategic and technology risks: the case of Co-operative Bank
This paper studies the growth by acquisition strategy embarked upon by a mid-sized UK bank, the Co-operative Bank; this strategy was a disaster, leaving a heretofore successful bank in dire trouble and on the block for buyers at a substantial discount to…
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Volatility spillover along the supply chains: a network analysis on economic links
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
This paper proposes a multiplicative component CARR (MCCARR) model to capture the "long-memory" effect in volatility.
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale
