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Tag "risk"

Risk & Reward

Risk & Reward

🕔15:03, 17.Apr 2019

Central banks have used different types of forward guidance, where the forward guidance horizon is related to a state contingency, a calendar date or left open-ended. This paper reports cross-country evidence on the impact of these different types of forward

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2019 the state of risk oversight

2019 the state of risk oversight

🕔16:51, 4.Apr 2019

As business leaders manage the ever-changing economic, political, and technological landscape they face a significantly magnified exposure to risk and uncertainty. This creates a highly complex portfolio of potential risks that, if managed poorly, can lead to lost opportunities that

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Crowded Trades and Tail Risk

Crowded Trades and Tail Risk

🕔11:02, 27.Mar 2019

Concentrated positions in investment assets, often referred to as “crowded trades", are increasingly a topic of interest to investors and regulators. The concern centers around self-reinforcing downward price pressure resulting from liquidation of concentrated positions by vulnerable asset owners. But,

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Constrained Risk Budgeting Portfolios

Constrained Risk Budgeting Portfolios

🕔08:10, 21.Feb 2019

Working Paper This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program

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Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises

Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises

🕔14:25, 14.Feb 2019

Occasional Paper Series This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that captures risks stemming from domestic credit, real estate markets, asset prices, and external imbalances. The d-SRI increases on average several years before

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Aandelenrisico binnen individueel Defined Contribution

Aandelenrisico binnen individueel Defined Contribution

🕔14:02, 8.Feb 2019

Individueel Defined Contribution (iDC) regelingen krijgen steeds meer aandacht. Dit zijn beschikbare premieregelingen waarbij de inleg vaststaat en het pensioen voor een belangrijk deel afhangt van het behaalde rendement op de beleggingen. Een individuele regeling klinkt misschien eenvoudig en overzichtelijk.

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The Global Risk Report

The Global Risk Report

🕔13:03, 23.Jan 2019

We publish the 2019 edition of the World Economic Forum’s Global Risks Report at an important moment. The world is facing a growing number of complex and interconnected challenges—from slowing global growth and persistent economic inequality to climate change, geopolitical

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BlackRock geopolitical risk dashboard

BlackRock geopolitical risk dashboard

🕔02:12, 19.Jan 2019

We are upgrading the likelihood of three of our geopolitical risks, even as overall market attention to geopolitics has edged down recently. We see geopolitical risk as a material market factor in 2019, especially in an environment of slowing growth

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Allianz Risk Barometer

Allianz Risk Barometer

🕔15:56, 16.Jan 2019

Technology is breeding new threats as well as business models. Traditional risks such as natural catastrophes continue to challenge while other threats such as cyber, neck-and-neck with business interruption at the top of the Allianz Risk Barometer for the first

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Risk & Reward

Risk & Reward

🕔11:03, 16.Jan 2019

In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity

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Risk & Reward

Risk & Reward

🕔11:03, 16.Jan 2019

In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity

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A Look Ahead to 2019 Shifting Emphasis From Return to Risk

A Look Ahead to 2019 Shifting Emphasis From Return to Risk

🕔15:02, 28.Dec 2018

As 2018 draws to a close, the marketplace has become increasingly littered with yearsin-review and return forecasts for the new calendar year. But forecasting is hard and forecasting market returns for a 12-month period is even harder. In their simplest

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Inflatierisico

Inflatierisico

🕔13:04, 25.Dec 2018

Het doel van pensioenfondsen is om hun deelnemers van een goed en waardevast pensioen te voorzien. Veel pensioenfondsen streven er daarom naar de pensioenen jaarlijks te verhogen met de inflatie. Deze jaarlijkse verhoging wordt indexatie of toeslag genoemd. In de

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Alternative Risk Premia: Crisis or Opportunity?

Alternative Risk Premia: Crisis or Opportunity?

🕔12:06, 22.Dec 2018

We define and study the alternative risk premia (ARP) universe through four distinct core strategy types: equity neutral, volatility, trend, and macro. We believe that a host of underlying drivers, which include rising price volatility, individual factor investing risks, and

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US high yield: accounting for outside risk

US high yield: accounting for outside risk

🕔17:02, 6.Dec 2018

Investment Insights With the US economy now in its ninth year of expansion, pressure from higher interest rates, future US Federal Reserve (Fed) rate hike expectations and concerns around tariffs and trade wars have been weighing on the majority of

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Signs of Equity market Strain

Signs of Equity market Strain

🕔17:02, 3.Dec 2018

Intech Equity Market Stress Monitor™ •We introduce a new risk profile of the equity market – a collection of five reliable indicators of market strain – to help identify different risk regimes and associated tail-risk.

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Equity Market Risk Premium Research Summary

Equity Market Risk Premium Research Summary

🕔13:28, 21.Nov 2018

Do borrowers demand less credit from banks with weak balance sheet positions? To answer this question we use novel bank-specific survey data matched with confidential balance sheet information on a large set of euro area banks. We find that, following

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Let’s talk about actual investing.

Let’s talk about actual investing.

🕔19:02, 16.Nov 2018

The views expressed in this article are those of Stuart Dunbar and should not be considered as advice or a recommendation to buy, sell or hold a particular investment. They reflect personal opinion and should not be taken as statements

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Model risk management Building supervisory confidence

Model risk management Building supervisory confidence

🕔15:28, 17.Oct 2018

This report sets out our views and experience on how financial services firms can apply practical model risk management to build supervisory confidence in models and modeling. It draws on the experience and expertise of Deloitte model risk management teams

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The best lines of the night

The best lines of the night

🕔03:02, 16.Oct 2018

Regional view – United States Last week we hosted a discussion with members of the UBS Research Advisory Board (RAB) consisting of top thought leaders from around the financial services industry. We asked our RAB members three questions: what are

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Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:02, 6.Oct 2018

Abstract The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk is reduced to returns volatility. The Sharpe Ratio does not encompass extreme risk, especially

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Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:36, 5.Oct 2018

Abstract Didier Maillard Professor Emeritus at CNAM, Senior Advisor on Research – Amundi didier.maillard-ext@amundi. com The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk

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Risicostandaarden beleggingen 2018

Risicostandaarden beleggingen 2018

🕔15:31, 28.Sep 2018

Het rapport CFA Society VBA Netherlands Risicostandaarden Beleggingen 2018 bevat de aanbevelingen van CFA Society VBA Netherlands met betrekking tot de te hanteren risicoparameters, standaarddeviaties en correlaties. Deze zijn van belang bij het maken van een kwantitatieve risicoanalyse van beleggingscategorieën

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Global Risk Dialogue

Global Risk Dialogue

🕔15:31, 28.Sep 2018

AGCS is insuring construction of the eighth Allianz stadium, the first in North America, in St. Paul, Minnesota. Major League Soccer team Minnesota United will play at Allianz Field from the start of the 2019 season. AGCS’ exclusive coverage includes

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Risk-taking across generations

Risk-taking across generations

🕔14:03, 18.Sep 2018

The typical millennial household takes substantial equity risk. However, one notable group, at least a quarter of millennial investors, may have been strongly influenced by bear-market experience and have adopted conservative portfolios. Over the recent five-year period from 2012 through

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