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Showing 1 - 10 of 143 entries

  1. BLOG

    After Evergrande: Bond Liquidity of Chinese Property Developers 

    Nov 17, 2021

    Fixed Income , Risk Management , Global Investing

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    Evergrande, one of China’s largest and most indebted property developers, had a recent close brush with bankruptcy that generated considerable concern among global bond investors. In this time of distress, how has market liquidity responded?

  2. BLOG

    How Climate Change Could Impact Credit Risk 

    Oct 20, 2021

    ESG Research , Fixed Income , Risk Management

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    Investors are increasingly focused on gauging the risks related to climate change. We investigated how various climate scenarios could impact the credit risk of portfolios. In one scenario, 16% of investment-grade issuers could migrate to high yield.

  3. BLOG

    Housing-Bubble Déjà Vu 

    Aug 10, 2021

    Risk Management

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    The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?

  4. BLOG

    Assessing Private Infrastructure in a Multi-Asset-Class Portfolio 

    Aug 4, 2021

    Real Estate Investing , Risk Management

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    Private infrastructure is a popular element of institutional capital allocations, and increased focus on renewable or carbon-neutral infrastructure may mean significant new investment opportunities. What role could it play in a multi-asset-class portfolio?

  5. BLOG

    Managing Against MBS Indexes: A Duration Perspective 

    Jul 30, 2021

    Fixed Income , Risk Management

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    Mortgage-backed securities constitute a significant portion of fixed-income indexes. Managing MBS portfolios against these indexes depends heavily on an understanding of the dynamics of MBS duration, especially in volatile markets.

  6. BLOG

    Credit Strategies During the COVID-19 Crisis 

    Jul 27, 2021

    Fixed Income , Risk Management

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    Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?

  7. BLOG

    What Could a Rate Hike Mean for Portfolios? 

    Jul 22, 2021

    Fixed Income , Risk Management

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    Although the Federal Reserve may not begin raising rates anytime soon, U.S. and global markets are scrutinizing the Fed’s communications about the likely course of policy actions. We consider three scenarios for the timing of policy responses.

  8. BLOG

    How Might Inflation Impact Funding Ratios? 

    Jul 14, 2021

    Risk Management

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    We analyzed two multiperiod inflation scenarios to understand how the funding ratios of defined-benefit pension funds could evolve in each and what they could mean for a pension fund in terms of special contributions over the next 10 years.

  9. BLOG

    What Can Liquidity Tell Us About ETF Prices? 

    Jul 9, 2021

    Integrated Risk Management , Risk Management

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    As thematic equity ETFs have grown in popularity, concerns have been raised about their liquidity — especially when an ETF holds a large fraction of a constituent’s shares. How can ETF investors get a handle on this risk? 

  10. BLOG

    What Can Loan-Level Data Reveal About US Auto-Loan ABS? 

    Jun 15, 2021

    Fixed Income , Risk Management

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    U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.

Showing 1 - 10 of 143 entries