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Are You Ready For Uniform MBS? (Part 1)
Apr 8, 2019 Yihai YuModels/Client Cases , Fixed Income , Risk Management
Learn MoreFannie & Freddie will conclude Single Security Initiative (SSI) June 3, 2019, creating a single to-be-announced (TBA) market & a new TBA security: the uniform mortgage-backed security (UMBS)
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Factors and ESG: the truth behind three myths
Mar 20, 2019 Guillermo CanoModels/Client Cases , ESG Research , Factor Investing
Learn MoreThere are misconceptions of the relationship between factors and ESG issues. We debunked three common myths about ESG, momentum, quality and smaller-cap stocks.
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Santander’s coco extension: The new market norm?
Mar 18, 2019 Gergely Szalka , Imre VörösModels/Client Cases , Fixed Income , Risk Management , Integrated Risk Management
Learn MoreBanco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?
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Are Subprime Auto Loans at a Tipping Point?
Mar 4, 2019 Yini Yang , Joy ZhangModels/Client Cases , Economic Exposure , Fixed Income
Learn MoreInvestors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.
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How mortgage fees affect rates and spreads
Feb 7, 2019 Yihai YuModels/Client Cases , Real Estate Investing , Fixed Income
Learn MoreHow could potential changes in U.S. mortgage policy and possible long-term industry trends affect mortgage-related fees and rate spreads?
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CDS hedging: exploring all the options
Jan 23, 2019 Michael HayesModels/Client Cases , Fixed Income , Risk Management
Learn MoreThe credit-default-swap (CDS) market previously offered a cost-effective means to make short-term hedges or place bets on an individual issuer’s credit.
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From credit crunch to liquidity crunch: managing liquidity
Jan 10, 2019 András BohákModels/Client Cases , Fixed Income , Risk Management
Learn MoreVolatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.
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Investing in convertible bonds when rates rise
Nov 30, 2018 Gergely SzalkaModels/Client Cases , Fixed Income , Risk Management , Integrated Risk Management
Learn MoreIs my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?
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What it may mean for Japanese stocks if easy money ends
Nov 22, 2018 Naoya NishimuraModels/Client Cases , Global Investing , Factor Investing
Learn MoreSome observers are concerned that when the Bank of Japan (BOJ) eventually ends its ultra-easy monetary policy, it could hurt the Japanese stock market. Part of this concern stems from the fact that the BOJ’s unconventional monetary policy involves purchasing Japanese exchange-traded funds (ETFs).
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Which factors mattered in China?
Nov 7, 2018 Oleg RubanModels/Client Cases , Global Investing , Factor Investing
Learn MoreChinese equity prices have hardly been music to investors’ ears so far in 2018. The MSCI China A Onshore IMI Index — the broadest MSCI A shares index designed to represent the performance of the overall A shares market — has declined more than 25% in local currency terms through Oct. 31, 2018. Were there factors in this market that outperformed?
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