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 Systemic tail risk
Amanda WhiteJanuary 31, 2014
“We have to move faster than our competitors,” says the chief executive of French retirement fund Union Mutualiste Retraite, Charles Vaquier. It is a phrase that you can hear uttered by business leaders at all sectors and levels, but one that institutional investors rarely emphasise. In chatting about its investment strategy, it soon becomes apparent […]
Dan BillinghamJanuary 30, 2013
Part of the mandate given to US regulators by the Dodd Frank Act is to measure and monitor systemic risk, but more than one risk measure is needed to capture the complex and adaptive nature of the financial system. The Office of Financial Research, part of the US Department of Treasury, has put together a […]
Former head of the US Securities Exchange Commission, Harvey L Pitt, has one simple piece of advice for investors wondering if, a year after the sweeping Dodd-Frank reforms were enacted, regulation has been adequately strengthened to avoid another financial crisis.
SAM RILEYDecember 21, 2011
The market is reflecting a high state of systemic risk and turbulence, and investors should adjust their allocation to growth assets accordingly, says Lucas Turton, chief investment strategist of Windham Capital Management.
Amanda WhiteOctober 19, 2011
According to the modelling in this paper, a modest allocation to hedge funds would improve the returns to US public pension funds by about $13 billion annually. It also shows that the track record of hedge funds in recent years illustrates that hedge funds have not been “an important source of systemic risk”.
Amanda WhiteSeptember 21, 2011
This new research, to be published in the FAJ, shows that the rise in popularity in indexing, through passive mutual funds and ETFs, contributes to higher systematic market risk. It shows, consistent with the accelerating growth of passive investing, that equity betas have not only risen but converged in recent years.