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Showing 1 - 10 of 46 entries

  1. 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? 

  2. BLOG

    How Inflation Could Affect Multi-Asset-Class Portfolios 

    Mar 3, 2021 Thomas Verbraken , Daniel Szabo

    Real Estate Investing , Fixed Income , Global Investing , Integrated Risk Management

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    Market participants are hotly debating whether U.S. monetary and fiscal policy may cause inflation. We consider four scenarios — reflation, disinflation, an overheated economy and stagflation — and their potential impact on multi-asset-class portfolios.

  3. BLOG

    A New COVID-19 Regime for MBS? 

    Feb 17, 2021 Yihai Yu , Miklós Vörös

    Fixed Income , Integrated Risk Management

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    In 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.

  4. BLOG

    Are Securitized Products Ready for the LIBOR-SOFR Transition? 

    Sep 2, 2020 Joy Zhang , Yihai Yu

    Fixed Income , Integrated Risk Management

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    Will 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.

  5. Aggressive 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.

  6. 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.

  7. BLOG

    Home bias in fixed income: Has it helped or hurt? 

    Jul 29, 2019 Anikó Maráz , Andy Sparks , Maraz Aniko

    Fixed Income , Global Investing , Integrated Risk Management

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    Has 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.

  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

    Evaluating the impact of LIBOR fallback 

    Apr 3, 2019 Maks Oks

    Fixed Income , Global Investing , Integrated Risk Management

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    The 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.

  10. BLOG

    Have High-Yield ETFs Created Liquidity Risk? 

    Mar 27, 2019 Reka Janosik

    Fixed Income , Risk Management , Integrated Risk Management

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    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.

Showing 1 - 10 of 46 entries