Risk
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
People: Societe Generale appoints new chief risk officer
Diony Lebot is promoted; Robert Cook becomes president and CEO of Finra; Andre Cronje joins HSBC
The excess returns of “quality” stocks: a behavioral anomaly
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Portfolio insurance with adaptive protection
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Bringing order to op risk and the duck-billed platypus
Industry co-operation on operational risk taxonomies might yield a valuable tool
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
Banks' ethics push seen as good for bottom line
EU non-financial reporting rules expected to push firms to consider ESG concerns
A unified framework for risk-based investing
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
Q&A: Allianz CRO on using smarter performance metrics
Modern CROs must think carefully about value, especially for capital-heavy products, says Tom Wilson
Avoiding fraudsters key to Neuberger Berman's China fund
Not uncommon to find companies fabricating accounting statements in China
Infrastructure funds focus on de-risking energy investments
Investors see opportunities as utilities divest underperforming assets
Tendance Finance sees risk in ETF liquidity
French hedge fund also fears regulators may cap leverage and curtail shorting
Ucits VI threatens derivatives in alternatives funds, says Candriam
Sixth iteration of directive could pose danger to portfolio risk management
Emerging markets domestic focus rewards Aperios
But fund not envisaged to grow larger than $500 million
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Omni: central banks pushing investors into risky assets
Inflation not driven by strong economic growth; symptoms of a financial bubble
Failures recur because of lack of challenge, say managers
Operational risk managers highlight repeat failures at firms
Focus on risk culture is ‘remaking’ the banking system
Banks and regulators face new risk culture challenges
Driverless cars and 'digital exhaust' are emerging risks
Zurich CRO highlights three risks insurers will face in future