Integrated Risk Management

Our Analytics research aims to provide new understanding for investors on how markets, asset classes and individual securities may be linked from a risk perspective. From cutting-edge models for traditional and alternative asset classes to understanding how macroeconomic factors affect asset prices to stress testing scenarios with robust single security coverage, we examine risk for clients' entire portfolios and across investment horizons.

 

 


 

fEATURED research papers and Blog posts


A more politicized Fed? The market yawns

Blog Post: Does the market think the Federal Reserve is becoming less independent because of political pressure? Some worry this could become a reality, at a potential long-term cost to the economy. We look at more than a half-century of inflation, rate and volatility data to gauge the current market view.


Are You Ready For Uniform MBS? (Part 1)

Blog Post: Investors are preparing for the June 2019 launch of Fannie Mae and Freddie Mac’s uniform mortgage-backed security. Investors have the option to exchange their securities, but face the challenge of accurately modeling the compensation they will get for receiving the new ones, which have longer payment delays.


What Yield-Curve Inversions Have Meant For Markets

Blog Post: Yield-curve inversions have historically preceded recessions, leading some market commentators to suggest that inverted yield curves roil the stock and bond markets. But what does market history tell us about the relationship between curve inversions and stock values and Treasury yields?


Evaluating the Impact of LIBOR Fallback

Blog Post: Some financial contracts based on LIBOR and other interbank rates have maturities that extend beyond 2022 — when these rates will be discontinued. How will the transition to a replacement rate affect the value of these contracts? Can investors consider and act on this repricing risk before LIBOR disappears?


Have High-Yield ETFs Created Liquidity Risk?

Blog Post: In the fourth quarter of 2018, a wave of ETF redemptions provided an opportunity to assess the strength of liquidity in the high-yield market — a portion of the fixed-income universe where market participants may be more likely to affect spreads through purchases and sales. We examine whether heavy ETF redemptions influenced bond spreads.


Santander’s coco extension: The new market norm?

Blog Post: When Banco Santander announced it would extend its additional-tier-one contingent-convertible (coco) bond issuance, the media depicted the event as upending banks’ practice of calling bonds on their first call date. But despite the media reaction, markets did not seem altogether surprised.

MARKETS ARE WORRIED DESPITE LOW-VOL SLUMBER

Institutional investors may be scratching their heads at why the widely watched measure of market concern known colloquially as the “fear index,” or VIX, recently reached a 23-year low despite plenty of reasons for the sort of uncertainty that makes markets jittery.

What is the future of the ECB’s corporate bond program?

With average purchases of €7.8 billion ($8.7 billion) per month, the European Central Bank’s corporate bond buying program (CSPP) has become a major driver in the market.

Why Brexit and Economic Exposure Matters

The performance of markets post-Brexit highlights the importance of capturing how companies across different industries are exposed to economic activity beyond their domestic borders.