Risk premia
Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
The authors present a novel visualisation model, based on 5000 quantitative investment strategies, which can identify nonlinear relationships and clustering strategies with similar risk factor exposures.
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
Forecasting the European Monetary Union equity risk premium with regression trees
The authors use EMU data from the period between 2000 to 2020 to forecast equity risk premium and investigate Classification and Regression Trees.
Merton’s model with recovery risk
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
Quant investment firm of the year: Nordea Asset Management
Risk Awards 2021: focus on tail risk – and a little ice in the veins – helped Nordea stare down Covid
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Derivatives house of the year, Asia ex-Japan: UBS
Asia Risk Awards 2020
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
How diversifying too far weakened alt risk premia’s rebound
Strategies that hurt ARP funds in 2018 did better but some cancelled out last year
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
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
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
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
The risk markup of intermittent renewable supply in German electricity forward markets
This paper presents an empirical analysis of how power shocks resulting from intermittent renewables affect the forecast error of the forward premium in German electricity markets.
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…
