Asset management
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
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Clearing fees up for 60% of swaps users due to leverage ratio
Survey of US asset managers reveals higher costs and reduced access to clearing
Independent asset managers lag bank, insurer-owned peers on op risk
Capital requirements incentivise banks and insurers to enhance op risk management
Asset managers push CFTC for more relief on position limits
Funds welcome aggregation tweaks but urge regulator to go further
Repo stay extension raises questions for buy side
Resolution stays extended to repo and securities lending contracts
Lack of average pricing holding back Clobs, says buy side
Sefs, FCMs and CCPs not interested in finding a solution, however