Portfolio management
Confidence in pricing data is essential in a distressed market
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explores the key role of reliable data sources in offering a commercial advantage to traders during the March crisis
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Lighting up the black box: a must for investors?
Many contend you must be able to interpret machine learning in order to use it
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
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…
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
PRA drops ‘timely’ payouts in credit risk insurance
Plan for expeditious timeframe set aside to delight of banks worried about retaining capital breaks
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
The future of emerging markets – 30 years on from the launch of the MSCI Emerging Markets Index
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
JP Morgan AM creates Taiwan trading hub
New local centre aims to channel orders in bulk, cutting price slippage
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios