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A New COVID-19 Regime for MBS?
Feb 17, 2021 Yihai Yu , Miklós VörösFixed Income , Integrated Risk Management
Learn MoreIn 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.
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Are Securitized Products Ready for the LIBOR-SOFR Transition?
Sep 2, 2020 Joy Zhang , Yihai YuFixed Income , Integrated Risk Management
Learn MoreWill the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.
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Hedging Inflation: A Scorecard
Aug 26, 2020 Juan Sampieri , Andy SparksIntegrated Risk Management , Fixed Income , Global Investing , Risk Management
Learn MoreAggressive actions by central banks and soaring government budget deficits have raised concerns among some investors that inflation may significantly rise. We examine whether an inflation hedge was worth the cost over the past 13 years.
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Same target, different destinations
Jul 31, 2019 Anil RaoIntegrated Risk Management , Models/Client Cases
Learn MoreTarget-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.
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Home bias in fixed income: Has it helped or hurt?
Jul 29, 2019 Andy Sparks , Anikó MarázFixed Income , Global Investing , Integrated Risk Management
Learn MoreHas global diversification historically helped reduce risk in the fixed-income portfolios of U.S. defined-benefit (DB) pension plans? Our backtests show that globalizing bond allocations would have increased risk measured relative to a liability benchmark. For such plans, home bias in bond portfolios would have reduced active risk over the period of our study.
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Beware of FRTB cliff effects. Sharp curvatures ahead.
Jun 20, 2019 Andras RokobIntegrated Risk Management , Fixed Income , Models/Client Cases , Risk Management
Learn MoreThe Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.
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Evaluating the impact of LIBOR fallback
Apr 3, 2019 Maks OksFixed Income , Global Investing , Integrated Risk Management
Learn MoreThe planned discontinuation of LIBOR and other interbank offer rates sometime in 2022 will affect a large number of existing financial contracts based on these benchmarks.
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Have High-Yield ETFs Created Liquidity Risk?
Mar 27, 2019 Reka JanosikFixed Income , Risk Management , Integrated Risk Management
Learn MoreIn 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.
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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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The risk in risk-parity strategies
Mar 13, 2019 Thomas VerbrakenFixed Income , Integrated Risk Management
Learn MoreThe relationship between bonds and equities may be especially important to investors who employ a risk-parity approach. In our analysis, as the bond-equity correlation turned strongly positive, the effect on risk-parity portfolios was much greater than that on traditional 60/40 equity/bond portfolios.
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