Systematic managers grapple with ESG demands of clients
In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting volatility. The paper conducts in-sample analysis and out-of-sample…
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
Risk USA: Nobel laureate’s new ‘Geovol’ model suggests geopolitical risk no higher than during past 20 years
Risk USA: Libor transition head says SOFR is more stable than the rate it is set to replace
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
Trading reaches crescendo on Friday; insiders warn of further volatility
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
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 introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.