The FICC Market Standards Board Ltd. (FMSB) is a London-based standards body for participants in the wholesale fixed income, currencies, and commodities (FICC) markets. It has been looking into the root causes of market misconduct, and pursuant to that research it recently published a report on the “themes and challenges” in algorithmic trading and machine learning. The author of the…
By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is akin to fighting in the forever war. There are long periods of peace and prosperity, but investors are frequently drawn into short-term combat, extended battles, and multi-year wars. And the cycle repeats over and over. For some of the foot soldiers,Read More
We investigate empirically how the balance sheet characteristics of central counterparties (CCPs) affect their modelling of credit risk. CCPs set initial margin (IM), i.e., the collateral for transactions, to limit counterparty credit risk. When a CCP's IM model fails on a large scale, the CCP could fail too, losing its skin-in-the-game capital.
The Cboe Volatility Index, known as Wall Street's "fear gauge," jumped to its highest level in more than a month on Thursday as concerns over a resurgence of the novel coronavirus pandemic felled U.S. stocks.
We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading-off higher yields for more liquid and safer assets. De-risking is stronger for laggard funds that have a more concave sensitivity of flows-to-…
Only the United States and New Zealand allow direct-to-consumer advertising for prescription drugs. In the U.S. alone, pharmaceutical companies spend nearly $10 billion annually to advertise drugs.1 Advertising is so widespread that Harvard Medical School suggests due diligence questions for consumers.2 We’ve listed a few below.
Pensions & Investments recently reported that mutual fund assets in DC plans total $3.19 trillion and target date funds have an $877 billion share of it! Assets in these strategies are surging – including collective-trust versions – given their use as a qualified default investment alternative (QDIA).
In this Fiduciary Investors Series podcast Amanda White talks to Professor Cameron Hepburn, Professor of Environmental Economics and the director of the economics sustainability programme at the University of Oxford.
The post The end of risk management: What finance can learn from climate science appeared first on Top1000Funds.com.
Most investors seem less rational than they might admit when it comes to their money. Kahneman and Tversky pointed out 40 years ago in their Nobel-prize winning research: people prefer avoiding losses to acquiring gains. They treat losses and gains differently.
There has been a lot of commentary in the financial press about the idea of “fat tails,” that is, about the idea that disasters are more common than a normal or bell curve view of probability would lead one to expect. Indeed, one might even say that there is someRead More
By Masao Matsuda, CAIA, FRM, Founder, Crossgates Investment and Risk Management One would think hedge funds can weather market gyrations better than long-only equity investments as hedge funds have greater flexibility in determining the levels of market exposure. However, while some individual hedge funds may have been successful in adverse marketRead More