Several years into the most profound economic crisis of a generation with no clear end in sight, the banking industry has suffered spectacularly. This white paper looks at the challenges that manager face when developing trading systems strategies.
This white paper looks at recent events affecting Australia’s banking sector. These include the legal risks associated with debt issuance programmes should a European Union member exit the Union, plus reforms to the Privacy Act 1988 in relation to banking and swap developments.
Margin lending has given individuals and corporate borrowers the opportunity to finance investments with the use of asset backed portfolios. This white paper analyses the structure of margin lending and its various risks.
The new European Regulation on short selling and certain aspects of credit default swaps is intended to create an EU common regulatory framework for dealing with short selling issues. Macfarlanes looks in detail at how the regulation will work in practice.
The infrastructure finance market transitioning. As the bank market for long-term finance continues to contract, market players are waiting to see how the new models develop. Under contention includes the mix of bond and bank finance, if projects are greenfield developments or debt refinancings.
This white paper discusses the current state of European small-cap, mid-cap and SMID-cap indexing. It looks at how tracking errors can be reduced and correlations increased using a different choice of index.
It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios between 2005-2009. This white paper introduces four new alternative strategies that exploit the information provided by the time-varying price discovery of the equity and credit default swap markets.
This research was produced as part of "The Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project at EDHEC-Risk Institute, in partnership with Eurex.
The importance of accurately modelling and managing credit risk is continuously growing, regulatory changes and evolving risk management practices have led to banks looking a lot more closely at credit risk. This white paper provides an introduction to this challenging topic.
After the cut in the prime lending rate to 1.25% by the European Central Bank, and with the inflation rate in Germany at 2.4% in November 2011, real returns are clearly negative. Consequently, investors are searching for products that are less affected by capital market fluctuations, but still…