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.
The EDHEC-Risk North American Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices. The survey elicited responses from 139 North American investment professionals.
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.
This research was produced as part of the "Core-Satellite and ETF Investment" research chair at EDHEC-Risk Institute, in partnership with Amundi ETF.
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner and head of financial theory and research at Ito33, explores the alternatives.
Introducing the EDHEC-Risk Solvency Benchmarks – Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints
This research was produced as part of the "Solvency II Benchmarks" research chair at EDHEC-Risk Institute, in partnership with Russell Investments.
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…