Forecasting
Can nowcasting unlock factor timing?
Fulcrum Asset Management is running tests to see if fresher data can help improve factor allocations
Asset managers brave patchy data to nowcast China’s GDP
Techniques include using many datasets, relying on proxies and continually reviewing models
Canadian Big Five hoard reserves as credit outlook decays
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Range-based volatility forecasting: an extended conditional autoregressive range model
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.
Asia moves: Nomura boosts Asia ex-Japan, Bank of America picks two Apac co-heads, and more
Latest job changes across industry
Winning investment strategies based on financial crisis indicators
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
EU power balancing faces major changes
Three upcoming pieces of legislation will have significant effects on balancing trades for the UK, says energy expert
A call to arms – How machine intelligence can help banks beat financial crime
The revolution in artificial intelligence promises new leads in banks’ fight against dirty money. Alexander Campbell of Risk.net hosted a live online forum, in association with NICE Actimize, to investigate the applications of this emergent technology
RBC builds loan-loss buffer
Provisions for credit losses rise to C$346 million from C$274 million the prior quarter
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021