Factor Models News Today : Breaking News, Live Updates & Top Stories | Vimarsana

HSBC quant makes case for looking at collateral and funding rates in concert

Robeco launches quant credit strategy focused on SDGs and climate, and MSCI launches next generation of equity factor models.

Running climate stress tests on bond portfolios is a nascent exercise for many asset managers. MSCI looks at what to consider when optimising bond portfolios

Uncertain risk parity Point-estimated covariance can hide risks and leaves risk parity vulnerable to estimation error. Modeling covariance as uncertain instead of fixed captures ambiguity about the present and accounts for changing regimes. Allocating risk under uncertain covariance creates weightings that perform robustly under estimation error and across market conditions. Abstract Risk parity is a portfolio construction technique that scales sections of a portfolio (eg, stocks, bonds, currencies, commodities) so that forecasted contributions to net portfolio risk match the budget. Because ...

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