The Growing Necessity for Multi-Asset Class Risk Factor Models
Multi-asset class risk factor models are especially difficult to construct because of the complexity of calculating risks across...
The Changing Shape of Buy-Side Risk Technology
Many of the risk management trends that were already taking shape in the asset management industry have accelerated as a result...
COVID-19 and Multi-Period Optimization
Here we introduce the concept of multi-period optimization and its application for studying portfolio positioning during...
The Forgotten Credit Risk of Convertible Bonds
Convertible bonds, like any corporate bond, are subject to credit spread risk.
Making Use of Residual Risk During Global Events
Revere Geographic Revenue Exposure data can capture some of the residual risks and integrate a global perspective into our...
Back-testing Studies on the FactSet Short-term Risk Model During the COVID-19 Outbreak
It became a common theme post-2008 that VaR is not able to capture extreme events. This is only true if VaR is assessed based on...
Be Aware, Adapt, Innovate--or What We Learn from Mandelbrot, Noah, and Covid-19
A year before the breakout of COVID-19, I published an article which discusses how to transform investment uncertainty and risks...
How Market Volatility Affects Asset Class Behavior
In recent months, the market has seen a massive uptick in volatility. When just looking at the VIX, which is a measure of...
Traditional performance analysis techniques such as benchmarking, peer grouping, and Brinson attribution have generally been used...
The crisis we are experiencing today is unlike any other. With the rapid global spread of the COVID-19 novel coronavirus, we are...
The Coronavirus Emergency: A Quantitative View
The coronavirus pandemic represents an unprecedented challenge to all investors. The global situation is deeply uncertain and...
The coronavirus outbreak has taken center stage, sparking nervousness around the world and severely hampering business in Asia’s...
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