Equities
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Global banking sector equity surged in 2017
Surplus of assets over liabilities increased 17% in the year – BIS data
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
China A-shares: traders want access to onshore funding
Inclusion in MSCI will drive CNH squeeze unless CNY market is opened or settlement extended
Risk-return dominance of US ‘big five’ a myth, data shows
US stock markets less exposed to a ‘Gafam factor’ than assumed, says La Française Investment Solutions
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Mifid fuels Asian equities e-trading surge
Firms with European clients find low-touch channels help to prove best execution
Italian banks hardest hit by IFRS 9 transition
Risk Quantum analysis of 36 banks from 11 European Union countries found that capital declined on average by 34bp between December 31, 2017, and March 31, 2018
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
Mifid data: hard to access, hard to use
Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors
Allstate posts lower investment returns
Limited partnership income falls in first quarter
Danske Bank targets lower capital ratio
Danish lender bought 6.8 million of its own shares for DKK 1.6 billion
CCAR compels CET1 build-up at Capital One
The bank is targeting a CET1 capital ratio of 11% in 2018
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Goldman shakes off tax reform capital effects
Stronger regulatory ratios support capital distributions
Citi's core capital ratio drops 70 basis points
Capital returns and tax reform impacts behind decline
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer