Hedge funds
The importance of enterprise resilience alongside rapid digital transformation
The Covid-19 pandemic has accelerated digital and organisational transformation for many companies but, as leaders across industries note, this has also made them more vulnerable to new risks.
Large vector autoregressive exogenous factor (VARX) model with network regularization
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
SEC rule could stop pension funds investing in hedge funds
Hedge funds need to hold insurance to win US pension plan money. New rules would make cover too dear
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead.
New rules could see hedge funds sued for ‘doing a good job’
SEC proposal would make it easier for investors to sue hedge funds than mutual funds for negligence
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
Ignoring climate risk helps Crispin Odey hedge fund jump 30%
Odey Asset Management profits from buying energy stocks shunned by investors averse to climate risk
Building Artificial Intelligence in Credit Risk: A Commercial Lending Perspective
Drawing on recent academic evidence and business insights, this paper provides a contemporary look at what AI and ML adoption could mean for commercial lending and credit risk assessments.
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Bank risk manager of the year: Deutsche Bank
Risk Awards 2022: Seasoned risk team put on a masterclass in how to manage margin risks
SEC outdoes Europe on hedge fund, private equity disclosures
US to ban preferential treatment and introduce quarterly performance updates in rule shake-up
Indexed fixed income - Podcast
In this Risk.net audiocast, Zoi Fletcher talks to Kat Sweeney and John Keller about the evolution of indexation in fixed income markets.
Leveraging data in e-FX trading
In a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy, writes Daniel Chambers, head of Data &…
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead.
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
SEC stock loan disclosure plan won’t make markets more equal
The GameStop saga showed that securities lending is opaque. New rules are unlikely to improve things
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
FXPBs wary of Turkish lira risk, say hedge funds
Primes hesitant to take big positions on embattled currency
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move