Equities
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…
Hong Kong warrants: this time it’s different
With their rise in popularity, warrant issuers must be on their guard at all times
Asia moves: New CEOs at Credit Suisse and ANZ, Invesco gets new MD, and more
Latest job changes across the industry
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
US G-Sibs build capital even as shareholder windfalls surge
The eight large US banks return more than $30 billion to equity holders
Asset-backed securities swell Wells Fargo's revenues
Non-agency RMBS sales power $125 million of net gains on debt securities
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Japan looks to DLT to combat rise in settlement fails
Decision to shorten settlement cycle likely to hike fails caused by confirmation mismatches
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
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…
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains