Duration
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Munich Re’s capital requirement jumped 19% in 2019
Interest rate declines added €2.2bn to SCR
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Buy-side risk manager of the year: Vanguard
Risk Awards 2020: Fund giant gave more risk work to machines this year - from duration hedging to op risk
Europe eyes the pitfalls of Japanification
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?
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Structured products – The ART of risk transfer
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…
One size does not fit all – Adapting to meet investment goals
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…
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Rising rates hit Chubb's portfolio
US insurer posts $1 billion in realised and unrealised losses
An enterprise perspective of performance attribution: introducing the keel model
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Why Europe's insurers can't stop buying bonds
Solvency II has pushed firms to run positive duration gaps
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Small reinsurers ‘shortening bond durations’ to protect against interest rate volatility
Companies prepared to take ALM mismatch to access higher yields on reinvestment
US structurer of the year
US structurer of the year