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The Risk of Risk Limits 

Risk Management

In times of heightened volatility, risk limits can protect against equity-market drawdowns. While such measures can dampen portfolio losses, they may also have an impact on long-term returns, particularly in case of a sharp V-shaped market recovery.

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Credit in the COVID Crisis: Contagion, Valuation, Default 

Fixed Income , Risk Management

As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

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Bond ETFs and underlying price uncertainty 

Risk Management , Fixed Income

In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?

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Have High-Yield ETFs Created Liquidity Risk? 

Fixed Income , Risk Management , Integrated Risk Management

In the fourth quarter of 2018, redemptions of high-yield ETFs soared to approximately 25% of these funds’ assets under management (AUM), according to data provider IHS Markit.