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Showing 11 - 20 of 43 entries

  1. BLOG

    A reality check for MBS duration risk 

    Aug 15, 2019 Yihai Yu

    Risk Management , Fixed Income , Models/Client Cases

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    Empirical duration data can be used to check whether models for mortgage-backed securities are accurately measuring interest-rate risk.

  2. BLOG

    Liquidity risk under stress: Beyond bid-ask spreads 

    Aug 7, 2019 Diana Knipl

    Fixed Income , Models/Client Cases , Risk Management

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    Risk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact — or the additional cost on top of the bid-ask cost for large trades — could also increase significantly, driving transaction costs still higher.

  3. BLOG

    Same target, different destinations 

    Jul 31, 2019 Anil Rao

    Integrated Risk Management , Models/Client Cases

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    Target-date funds (TDFs) have gained wide adoption in U.S. defined-contribution plans over the last decade, aided by the proliferation of auto-enrollment features and the funds’ presentation as a “set it and forget it” approach.

  4. BLOG

    Three scenarios for Fed rate cuts 

    Jul 23, 2019 Andy Sparks , Thomas Verbraken

    Economic Exposure , Fixed Income , Models/Client Cases

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    A consensus has emerged that the Federal Reserve will lower rates in the coming months, but investors remain uncertain over the timing and magnitude of the cuts. What impact could three rate-cut scenarios have on markets?

  5. BLOG

    Liquidity and correlation in the Chinese credit market 

    Jul 9, 2019 Manuel Rueda

    Fixed Income , Risk Management , Models/Client Cases

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    China’s stock market has drawn huge attention from global investors, especially as China A shares have been added to leading equity indexes. But the same cannot be said for the country’s 38 trillion CNY (USD 5.5 trillion) credit market, now the second-largest in the world. Despite the market’s overall size, foreign investor participation remains miniscule, with overseas bondholders accounting for less than 1% of the total holdings.

  6. BLOG

    Reverse convertibles: Worth the risk? 

    Jul 5, 2019 Gyorgy Kocsis , István Varga-Haszonits

    Risk Management , Models/Client Cases , Fixed Income

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    Do reverse convertibles offer any obvious risk-return benefits over high-yield bonds?

  7. BLOG

    Bank loans: Will crisis follow the search for yield? 

    Jun 27, 2019 Hamed Faquiryan

    Risk Management , Fixed Income , Models/Client Cases

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    In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.

  8. BLOG

    Beware of FRTB cliff effects. Sharp curvatures ahead. 

    Jun 20, 2019 Andras Rokob

    Integrated Risk Management , Fixed Income , Models/Client Cases , Risk Management

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    The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.

  9. BLOG

    Game of Homes: Is winter coming for the domestic-equity bias? 

    Apr 30, 2019 Anil Rao , Raman Aylur Subramanian

    Equity Themes , Models/Client Cases , Global Investing

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    Can we quantify home-bias risk in an allocation? And, what has happened when U.S. stocks ended previous multiyear runs of outperformance?

  10. BLOG

    Are you ready for uniform MBS? (Part 2) 

    Apr 26, 2019 Yihai Yu

    Models/Client Cases , Fixed Income , Risk Management

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    Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities (UMBS), which the two government-sponsored enterprises will launch on June 3.

Showing 11 - 20 of 43 entries