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Showing 1 - 10 of 43 entries

  1. 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.

  2. 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.

  3. BLOG

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

    Jul 29, 2019 Anikó Maráz , Andy Sparks

    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.

  4. 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.

  5. 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.

  6. 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.

  7. BLOG

    Santander’s coco extension: The new market norm? 

    Mar 18, 2019 Imre Vörös , Gergely Szalka

    Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

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    Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

  8. BLOG

    The risk in risk-parity strategies 

    Mar 13, 2019 Thomas Verbraken

    Fixed Income , Integrated Risk Management

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    The 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.

  9. BLOG

    What would a “No deal” Brexit mean for markets? 

    Jan 17, 2019 Thomas Verbraken

    Global Investing , Integrated Risk Management

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    Financial markets are increasingly edgy about prospects for the U.K. Parliament’s expected Dec. 11 vote on a Brexit deal with the European Union.

Showing 1 - 10 of 43 entries