The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Asia Risk Awards 2020
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Researchers use March tumult to investigate psychology of risk-taking
Quant strategies that failed in the coronavirus crash face a reckoning
Strategies that hurt ARP funds in 2018 did better but some cancelled out last year
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
This paper presents an empirical analysis of how power shocks resulting from intermittent renewables affect the forecast error of the forward premium in German electricity markets.
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
This paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
Asian home bias and opportunity to exploit mispricing of assets among factors boosting strategies