A research paper by executives at the Dutch Central Bank, De Nederlandsche Bank, examines tail risk, and shows that historical tail betas are able to capture the sensitivity to future systematic tail risk.
The paper can be downloaded here
Research
GIC, Temasek eye trillions of growth in climate adaptation market
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
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EDHEC award-winning paper on dynamic allocation decisions
The Institute for Quantitative Investment Research (Inquire) Europe has recognised research by Professor Lionel Martellini, scientific director of EDHEC-Risk Institute developed in conjunction with Vincent Milhau, research engineer with EDHEC-Risk Institute. The paper, Dynamic Allocation Decisions in the Presence of Funding Ratio Constraints, can be accessed here. Inquire_Europe_Autumn_2009mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Towards a better benchmark for market valuations
Taking a three-year view of recent company earnings compared with price may be a more logical benchmark for market valuations, according to a paper from Wainwright Economics in the US. Wainright.pdfmrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Global regulation: not the time to lose interest
This paper by Pantheon Ventures argues there is an excellent case for appropriate global regulatory reform, but warns it must be proportionate and non-discriminatory, and it must acknowledge that the financial system is global.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Does Britain need a financial regulator?
Terry Arthur and Philip Booth from The Institute of Economic Affairs explore whether Britain actually needs a financial regulator, concluding among other things that the FSA “is simply the wrong model to generate appropriate rules and regulations”.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
SuperStream could save $20 bn: Ernst & Young
The $20 billion prize, provides a blueprint for implementing the Cooper Review-proposed SuperStream concept.
Revisiting global small caps
This research insight by MSCI, shows global small caps still exhibit distinct characteristics that provide opportunities for portfolio diversification and active management. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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