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.

Liquidity Risk Monitor Report highlights the trends of select liquidity risk indicators, involving U.S. and non-U.S. corporate bonds and bank loans liquidity, and is designed to help you identify strategies for liquidity risk management.

Investors may employ leverage with lower-risk asset classes such as bonds to seek higher risk and returns. We assessed the effects of leverage on the returns of three hypothetical multi-asset-class portfolios during the COVID-19 crisis.

We examine considerations when constructing single-factor portfolios: starting from a security universe with fixed target-market-cap coverage or fixed number of securities; assessing factor exposure on single or multiple factor descriptors: choosing how broad a subset to use from the underlying universe; and determining the pros and cons of different portfolio-weighting schemes.

This is the second in a series of research papers on fund liquidity risk management. Here we propose best practices for liquidity stress testing at funds, drawing on guidelines from the European Securities and Markets Authority for UCITS and alternative investment funds.

This paper proposes best practices for fund liquidity risk management. We draw a synthesis from the progress in the field of fund liquidity risk management and address the issue through a systematic formulation of the problem and adoption of the best tools currently available.

COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

The valuation of mortgage-backed securities is highly dependent on the accuracy and mathematical construction of the chosen interest-rate models. In this document, we discuss two key aspects of the choice of an interest-rate model for MBS: volatility skew and correlation structures of forward rates.