Asset management
Relief for EU money market funds on liquidity buffers
Final compromise regulation not expected to trigger large fund reallocations
Industry at the crossroads: Facing up to disruption and digitisation
Sponsored Q&A: Custody Risk Global Awards 2016 | Multifonds
Flylets and fixed-income portfolio risk management
Sponsored Q&A: Buy-Side Awards 2016 | Tudor Investment Corporation
De-risking pension funds across the board
Sponsored Q&A: Buy-Side Awards 2016 | Prudential Financial Inc
ESG trends: Casting the net wide and deep
Sponsored Q&A: Buy-Side Awards 2016 | Conning
Beat equal weighting: a strategy for portfolio optimisation
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Great expectations: The pensions market in 2017
Sponsored Q&A: Buy-Side Awards 2016 | Rothesay Life
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
New EU prudential framework proposed for investment firms
Non-bank Mifid firms could be subject to liquidity rules for first time
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Non-cleared margin transfer rules vex asset managers
Market split on whether MTA applies at the client or account level
Lining up the fundamentals
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Buy-side stress tests ‘not straightforward’ – Irish central banker
Stress tests for asset managers need to be different from those for banks, conference told
Quant jobs at risk from tech advances
But humans and 'intelligent' computers a strong combination, hedge fund managers say
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
China leverage clampdown to hit two-tier structured products
Product issuers look to derivatives to boost returns, but options are limited
Asset manager of the year: AllianceBernstein
AllianceBernstein reduces costly operational blunders by bringing risk to the fore
Interview: Iosco’s Andrews stresses CCP resilience and recovery
CCP resolution spells regulatory failure; guidance to follow on PFMIs and CCP stress-testing
Operational risk managers told to do less to succeed
Resist temptation to intervene often, says head of op risk at UBS Asset Management
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
Emir countdown raises cost questions for the buy side
Firms fear wider spreads, lower liquidity after May 21 frontloading date
Research uncovers new sources of financial model risk
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
The FRTB data management challenge
Sponsored forum: Asset Control