Dr. Bernhard Pfaff. The 2nd International R/Rmetrics User and Developer Workshop 29 June 3 July 2007, Meielisalp, Lake Thune, Switzerland
|
|
|
- Mervyn Bennett
- 6 years ago
- Views:
Transcription
1 Dr. Bernhard Invesco Asset Management Deutschland GmbH, Frankfurt am Main The 2nd International R/Rmetrics User and Developer Workshop 29 June 3 July 2007, Meielisalp, Lake Thune, Switzerland
2 Contents
3 Overview Cash-portfolio with futures strategy. Long/short positions are allowed. Should cover the major bond and equity markets. Should include a protection mechanism. Fully-hedged against currency risk.
4 The Pieces and Packages Forecasting model, e.g. vars and urca Risk model, e.q. fextremes and QRMlib Linear integer program, e.q. glpk
5 Data Continuous settlement (Wednesdays closing prices) of: Exchange : Instrument DS-Mnemonic Multiple Equity CME: S&P 500 ISPCS USD / IP EUREX: DJ EURO STOXX 50 GEXCS00 10 EUR / IP LIFFE: FTSE 250 LSYCS00 10 GBP / IP OSX: NIKKEI 225 ONACS JPY / IP Bond CBT: 10 YEAR US T-NOTE CTYCS USD / 100 BP EUREX: EURO BUND GGECS EUR / 100 BP LIFFE: LONG GILT LIGCS GBP / 100 BP TSE: 10 YEAR T-BOND JGBCS JPY / 100 BP
6 U.S. Equity USD Price of Future Percent Continuous Returns Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2334 Bandwidth = Normal Quantiles
7 Eurobloc Equity Price of Future Continuous Returns EUR Percent Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2356 Bandwidth = Normal Quantiles
8 U.K. Equity GBP Price of Future Percent Continuous Returns Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2341 Bandwidth = Normal Quantiles
9 Japan Equity JPY Price of Future Percent Continuous Returns Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2253 Bandwidth = Normal Quantiles
10 U.S. Bond Price of Future Continuous Returns USD Percent Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2287 Bandwidth = Normal Quantiles
11 Eurobloc Bond Price of Future Continuous Returns EUR Percent Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2361 Bandwidth = Normal Quantiles
12 U.K. Bond Price of Future Continuous Returns GBP Percent Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2338 Bandwidth = Normal Quantiles
13 Japan Bond JPY Price of Future Percent Continuous Returns Density Plot of Returns QQ Plot of Returns Density Ordered Data N = 2236 Bandwidth = Normal Quantiles
14 Vector Error-correction Model (VECM) VECM specified in transitory form with one lagged difference. Logarithmic transformation applied. Full sample period from until Pseudo ex ante forecasts starting One-step ahead forecasts are obtained from implied level-var.
15 ERS Tests, Equities variable statistic 1% 5% 10% lags U.S. level U.S. difference Eurobloc level Eurobloc difference U.K. level U.K. difference Japan level Japan difference
16 ERS Tests, Bonds variable statistic 1% 5% 10% lags U.S. level U.S. difference Eurobloc level Eurobloc difference U.K. level U.K. difference Japan level Japan difference
17 KPSS Tests, Equities variable statistic 1% 5% 10% lags U.S. level U.S. difference Eurobloc level Eurobloc difference U.K. level U.K. difference Japan level Japan difference
18 KPSS Tests, Bonds variable statistic 1% 5% 10% lags U.S. level U.S. difference Eurobloc level Eurobloc difference U.K. level U.K. difference Japan level Japan difference
19 Results of Trace Test rank statistic 10% 5% 1% r r r r r r r r = Conclusion: Cointegration rank of r = 2 cannot be rejected.
20 Settings and Quantitative Risk Measures Usage of expected shortfall (ES) numbers. Rolling window of 1000 observations per instrument. Estimates based on EVT (POT-method). Backtest period from to KISS: No combined GARCH & ES forecast. Instead, ES of last trading day used as forecast for today s ES.
21 Overview Long-Positions, 99%-Level Instrument Expected VaR-GPD ES-GPD VaR-Norm Equity U.S Eurobloc U.K Japan Bonds U.S Eurobloc U.K Japan
22 U.S. Equity: VaR & ES (Long, 99%) Continuous return, U.S. Equity ES (GPD) 6 shortfalls VaR (GPD) VaR (Normal) shortfalls 23 shortfalls
23 Eurobloc Equity: VaR & ES (Long, 99%) Continuous return, Eurobloc Equity ES (GPD) 4 shortfalls VaR (GPD) VaR (Normal) shortfalls 18 shortfalls
24 U.K. Equity: VaR & ES (Long, 99%) Continuous return, U.K. Equity ES (GPD) 9 shortfalls VaR (GPD) VaR (Normal) shortfalls 36 shortfalls
25 Japan Equity: VaR & ES (Long, 99%) Continuous return, Japan Equity ES (GPD) 7 shortfalls VaR (GPD) VaR (Normal) shortfalls 28 shortfalls
26 U.S. Bond: VaR & ES (Long, 99%) Continuous return, U.S. Bond ES (GPD) 6 shortfalls VaR (GPD) VaR (Normal) shortfalls 28 shortfalls
27 Eurobloc Bond: VaR & ES (Long, 99%) Continuous return, Eurobloc Bond ES (GPD) 6 shortfalls VaR (GPD) VaR (Normal) shortfalls 25 shortfalls
28 U.K. Bond: VaR & ES (Long, 99%) Continuous return, U.K. Bond ES (GPD) 4 shortfalls VaR (GPD) VaR (Normal) shortfalls 21 shortfalls
29 Japan Bond: VaR & ES (Long, 99%) Continuous return, Japan Bond ES (GPD) 3 shortfalls VaR (GPD) VaR (Normal) shortfalls 25 shortfalls
30 Overview Short-Positions, 99%-Level Instrument Expected VaR-GPD ES-GPD VaR-Norm Equity U.S Eurobloc U.K Japan Bonds U.S Eurobloc U.K Japan
31 U.S. Equity: VaR & ES (Short, 99%) Continuous return, U.S. Equity ES (GPD) 8 exceedances VaR (GPD) VaR (Normal) exceedances 16 exceedances
32 Eurobloc Equity: VaR & ES (Short, 99%) Continuous return, Eurobloc Equity ES (GPD) 7 exceedances VaR (GPD) VaR (Normal) exceedances 13 exceedances
33 U.K. Equity: VaR & ES (Short, 99%) Continuous return, U.K. Equity ES (GPD) 6 exceedances VaR (GPD) VaR (Normal) exceedances 30 exceedances
34 Japan Equity: VaR & ES (Short, 99%) Continuous return, Japan Equity ES (GPD) 5 exceedances VaR (GPD) VaR (Normal) exceedances 14 exceedances
35 U.S. Bond: VaR & ES (Short, 99%) Continuous return, U.S. Bond ES (GPD) 8 exceedances VaR (GPD) VaR (Normal) exceedances 18 exceedances
36 Eurobloc Bond: VaR & ES (Short, 99%) Continuous return, Eurobloc Bond ES (GPD) 9 exceedances VaR (GPD) VaR (Normal) exceedances 16 exceedances
37 U.K. Bond: VaR & ES (Short, 99%) Continuous return, U.K. Bond ES (GPD) 3 exceedances VaR (GPD) VaR (Normal) exceedances 13 exceedances
38 Japan Bond: VaR & ES (Short, 99%) Continuous return, Japan Bond ES (GPD) 5 exceedances VaR (GPD) VaR (Normal) exceedances 18 exceedances
39 Linear integer program Target function Maximize: z = n pi f m i x i, (1) i=1 whereby pi f is the absolute expected price change of the i-th future contract, m i is the corresponding multiple and x i is the integer number of contracts to buy or sell. The expected price changes are denominated in Euro.
40 Linear integer program Restrictions, I Budget: w n p i m i x i. (2) i=1 whereby w is the portfolio wealth. Buffer: p n p i m i r i x i, (3) i=1 whereby p assigns the risk buffer and r i is the risk factor. Equity share: qa 1 1 w n equity j=1 p j m j x j qa 2, (4) whereby qa 1 and qa 2 are the equity bounds.
41 Linear integer program Restrictions, II Bond share: qr 1 1 w n bonds j=1 p j m j x j qr 2 (5) whereby qr 1 and qr 2 are the fixed income bounds. Shorts: qs 1 w n short j=1 p j m j x j, (6) whereby qs is the upper bound on short positions.
42 Assumptions and sample, I Begin of simulation: End of simulation: Risk-free rate: 1-week Euribor. Usage of 99% ES-rate derived from GPD-distribution (POT-method). Scaling of daily ES by 7. No transaction costs and fully hedged.
43 Assumptions and sample, II Initial wealth, w, 1,000,000 Euro. Risk buffer: 90% of the highest wealth amount (high-watermark). Equity share between 10% and 90% of wealth. Bonds share between 10% and 90%. Maximal amount of short positions as high as 50% of wealth. Only trade if expected return is greater than 200 BP above 1 week risk-free rate.
44 Portfolio vs. Cash Portfolio Money Market EUR
45 Cash rate Percentage
46 Equity Contribution U.S. Equity Eurobloc Equity EUR EUR U.K. Equity Japan Equity EUR EUR
47 Cumulated Contribution from Equity Futures 0e+00 1e+05 2e+05 3e+05 4e+05 U.S. Eurobloc U.K. Japan
48 Number of Traded Equity Futures U.S. Eurobloc U.K. Japan
49 Average Return from Equity Futures U.S. Eurobloc U.K. Japan
50 Bond Contribution U.S. Bond Eurobloc Bond EUR EUR U.K. Bond Japan Bond EUR EUR
51 Cumulated Contribution from Bond Futures U.S. Eurobloc U.K. Japan
52 Number of Traded Bond Futures U.S. Eurobloc U.K. Japan
53 Average Return from Bond Futures U.S. Eurobloc U.K. Japan
54 Portfolio Characteristics Sharp ratio: 1.42 Number of futures traded: Average return per single future: 155 EUR. Maximal draw down equities: EUR. Maximal draw down bonds: EUR. Contribution from tactical allocation: EUR. End value of portfolio: EUR.
amleague PROFESSIONAL PERFORMANCE DATA
amleague PROFESSIONAL PERFORMANCE DATA Mandate Guidelines amleague Multi Asset Class Mandate (the Mandate ) September 2016 Investment objectives 1. Investment Objective and Policy The investment objective
Modelling Financial Risks Fat Tails, Volatility Clustering and Copulae
Modelling Financial Risks Fat Tails, Volatility Clustering and Copulae Bernhard Pfaff bernhard_pfaff@fra.invesco.com Invesco Asset Management Deutschland GmbH, Frankfurt am Main R in Finance 2010 16 17
Mongolia s TOP-20 Index Risk Analysis, Pt. 3
Mongolia s TOP-20 Index Risk Analysis, Pt. 3 Federico M. Massari March 12, 2017 In the third part of our risk report on TOP-20 Index, Mongolia s main stock market indicator, we focus on modelling the right
Investment Management of the Petroleum Fund
NATIONAL PARLIAMENT WORKSHOP CENTRAL BANK, GOVERNMENT BORROWING & LENDING AND GENERAL BUDGET OF THE STATE 2010 Dili, 21 October 2009 Investment Management of the Petroleum Fund By: Abraão Vasconselos,
FTT and financial market
FTT and financial market CFE Forum 2014 Policies for a sustainable tax future Brussels 27 March 2014 Financial market versus FTT The devil is in the detail. FTT does not recognize differences between equity
Modeling Co-movements and Tail Dependency in the International Stock Market via Copulae
Modeling Co-movements and Tail Dependency in the International Stock Market via Copulae Katja Ignatieva, Eckhard Platen Bachelier Finance Society World Congress 22-26 June 2010, Toronto K. Ignatieva, E.
Record of performance
Record of performance The Global VaR Management Concept : product line 1. Commingled funds : Product line FRANCE LUXEMBOURG Concept Devise CAAM INVEST UCITS III CAAM FUNDS EUR CAAM Arbitrage VaR 2 CAAM
Discussion of Elicitability and backtesting: Perspectives for banking regulation
Discussion of Elicitability and backtesting: Perspectives for banking regulation Hajo Holzmann 1 and Bernhard Klar 2 1 : Fachbereich Mathematik und Informatik, Philipps-Universität Marburg, Germany. 2
INDIAN INSTITUTE OF QUANTITATIVE FINANCE
2018 FRM EXAM TRAINING SYLLABUS PART I Introduction to Financial Mathematics 1. Introduction to Financial Calculus a. Variables Discrete and Continuous b. Univariate and Multivariate Functions Dependent
db x-trackers Investment Company with Variable Capital (société d'investissement à capital variable)
db x-trackers Investment Company with Variable Capital (société d'investissement à capital variable) Registered office: 49, avenue J.F. Kennedy, L-1855 Luxembourg R.C.S. Luxembourg B-119.899 (the Company
John Cotter and Kevin Dowd
Extreme spectral risk measures: an application to futures clearinghouse margin requirements John Cotter and Kevin Dowd Presented at ECB-FRB conference April 2006 Outline Margin setting Risk measures Risk
Financial Econometrics Notes. Kevin Sheppard University of Oxford
Financial Econometrics Notes Kevin Sheppard University of Oxford Monday 15 th January, 2018 2 This version: 22:52, Monday 15 th January, 2018 2018 Kevin Sheppard ii Contents 1 Probability, Random Variables
The Use of Penultimate Approximations in Risk Management
The Use of Penultimate Approximations in Risk Management www.math.ethz.ch/ degen (joint work with P. Embrechts) 6th International Conference on Extreme Value Analysis Fort Collins CO, June 26, 2009 Penultimate
Risk Solutions as a Service
ALPHA CENTAURI RISK Risk Solutions as a Service 1 Drawdown Renditerückgang in BP Yield (REX 5 years) Bull market in bonds finally over Reminicence of Nikkei, Nasdaq etc. in terms of duration, shape, positioning
Multi-asset technical strategies Week of 20 th November Mark Sturdy. Authorised and regulated by the FSA. Summary. Currencies. Stocks.
+ Standard S&P 500 & Poors 500 + European EuroStoxx DJ 50 Stoxx 50 + Ten year Year US Treasury treasury TNote note Note + Ten year Year Euro German Bund Bund + Ten UK Gilt year Japanese Bond + Dollar Oil
Prisma Cross-Margining Went Live in May 2014 Portfolio Simulations Available
Prisma Cross-ing Went Live in May 2014 Portfolio Simulations Available Optimal allocation of positions delivers lowest cost through cross-margining of OTC and ETD Without cross-margining IRS and fixed
UBS Forum. Sharper opinions, smarter decisions
Thursday, February 5 2015 UBS Forum. Sharper opinions, smarter decisions Madrid Milan London Frankfurt Zurich Chief Investment Office WM The Diverging World CIO Year Ahead 2015 Bill O'Neill Head of Investment
Please scroll to find the 2018 and 2019 global fund holiday calendars.
Please scroll to find the 2018 and 2019 global fund holiday calendars. 2018 Exchange-Traded fund holiday Vanguard Ireland-domiciled ETFs Jan Feb Mar Apr May Jun 1 2 5 12 15 25 9 12 14 15 16 19 28 20 29
Canada's equity market lagging world markets
Let's Talk Charts August 30, 2017 Canada's equity market lagging world markets Chart of the Day S&P/TSX Composite MSCI World 90 This chart compares the relative performance of the S&P/TSX Composite with
BENEFITS OF ALLOCATION OF TRADITIONAL PORTFOLIOS TO HEDGE FUNDS. Lodovico Gandini (*)
BENEFITS OF ALLOCATION OF TRADITIONAL PORTFOLIOS TO HEDGE FUNDS Lodovico Gandini (*) Spring 2004 ABSTRACT In this paper we show that allocation of traditional portfolios to hedge funds is beneficial in
Financial Risk 2-nd quarter 2012/2013 Tuesdays Thursdays in MVF31 and Pascal
Financial Risk 2-nd quarter 2012/2013 Tuesdays 10.15-12.00 Thursdays 13.15-15.00 in MVF31 and Pascal Gudrun January 2005 326 MEuro loss 72 % due to forest losses 4 times larger than second largest 4 Dependence:
Term Structure Models with Negative Interest Rates
Term Structure Models with Negative Interest Rates Yoichi Ueno Bank of Japan Summer Workshop on Economic Theory August 6, 2016 NOTE: Views expressed in this paper are those of author and do not necessarily
Fixed Income Solutions
Fixed Income Solutions Negative Interest Rates: Are they Coming to Canada? June 11, 2017 Harold Scheer CENTRAL BANKS HAVE INFLATED THEIR BALANCE SHEET AT RAPID PACE IN RECENT YEARS First round of QE significantly
P2.T5. Market Risk Measurement & Management. Kevin Dowd, Measuring Market Risk, 2nd Edition
P2.T5. Market Risk Measurement & Management Kevin Dowd, Measuring Market Risk, 2nd Edition Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Dowd Chapter 3: Estimating Market
Hedge Fund Index Replication. September 2013
Hedge Fund Index Replication September 2013 Introduction Hedge Fund Investing What products enable hedge fund investing? Build and manage your own portfolio of HFs Select and allocate to Funds of HFs (FoFs)
Risk management. VaR and Expected Shortfall. Christian Groll. VaR and Expected Shortfall Risk management Christian Groll 1 / 56
Risk management VaR and Expected Shortfall Christian Groll VaR and Expected Shortfall Risk management Christian Groll 1 / 56 Introduction Introduction VaR and Expected Shortfall Risk management Christian
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2017, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2017, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Describe
Bayesian Estimation of the Markov-Switching GARCH(1,1) Model with Student-t Innovations
Bayesian Estimation of the Markov-Switching GARCH(1,1) Model with Student-t Innovations Department of Quantitative Economics, Switzerland david.ardia@unifr.ch R/Rmetrics User and Developer Workshop, Meielisalp,
Core Portfolio Construction with Stock Market Indices
EDHEC ETF Summit 2006 November 21st, 2006, 11.30 13.00 Core Portfolio Construction with Stock Market Indices Felix Goltz EDHEC Risk and Asset Management Research Centre felix.goltz@edhec.edu EDHEC Institutional
RISK DASHBOARD. January
EIOPA-BoS/19-73 31 January 219 RISK DASHBOARD January 219 1 Risks Level Trend 1. Macro risks Medium 2. Credit risks Medium 3. Market risks Medium 4. Liquidity and funding risks Medium 5. Profitability
Fear of risk or risk of fear
ANDREW COLE SENIOR INVESTMENT MANAGER, INTERNATIONAL MULTI ASSET 7 September 2017 % IT HAS BEEN A GOOD TIME TO BE PASSIVE 14 50% EQUITIES/50% BONDS IN 12 10 8 6 4 2 0 Source: Thomson Reuters. Performance
Vanguard funds month-end NAV report
Vanguard funds month-end NAV report Fund Full Name January 2018 February 2018 NAVs Swing Factor Vanguard 20+ Year Euro Treasury Index Fund Institutional EUR Shares 198.1062 197.7897 0.16% 0.16% 0% Vanguard
OPTIMTRADER COMMISSIONS
OPTIMTRADER COMMISSIONS Package BASIC OPTIMUM PREMIUM MINIMUM DEPOSIT 5.000 USD or another currency equivalent 10.000 USD another currency equivalent According to the MONTHLY TRADING VOLUME OptimTrader
Asset Allocation with Exchange-Traded Funds: From Passive to Active Management. Felix Goltz
Asset Allocation with Exchange-Traded Funds: From Passive to Active Management Felix Goltz 1. Introduction and Key Concepts 2. Using ETFs in the Core Portfolio so as to design a Customized Allocation Consistent
Ex-ante cost and charges disclosure 1
Ex-ante cost and charges disclosure 1 Introduction An important element which needs to be taken into consideration when trading with Rabobank, is the cost of our services and the cost related to the financial
NOTICE TO HOLDERS OF SHARES OR UNITS IN THE FOLLOWING FUNDS
NOTICE TO HOLDERS OF SHARES OR UNITS IN THE FOLLOWING FUNDS Dear unit-holder or shareholder, Paris, 18 January 2018 The Management Company has decided to change the names of the funds shown in the table
Global Futures Margin Requirement
Global Futures Margin Requirement Update:2-3-2018 Index Futures Products Exchanges Futures Trader Contract Size Initial Margin Mainteance Minimum {Electronic Trading Hours} [Outcry Trading Hours] Product
PRODUCT INFORMATION. paddypowertrader. Contents: FUTURES INDICES
paddypowertrader PRODUCT INFORMATION Contents: 1. Indices. Interest Rate. Indices. Bond 5. Commodities 6. Currencies 7. ly Currencies. Individual Shares 9. Notes FUTURES INDICES Quoting FTSE 0:00-1:00
Thoughts on Asset Allocation Global China Roundtable (GCR) Beijing CITICS CITADEL Asset Management.
Thoughts on Asset Allocation Global China Roundtable (GCR) Beijing CITICS CITADEL Asset Management www.bschool.nus.edu.sg/camri 1. The difficulty in predictions A real world example 2. Dynamic asset allocation
Vanguard funds month-end NAV report
Vanguard funds month-end NAV report Fund Full Name March 2018 April 2018 NAVs Swing Factor Swing Decision Swung Unswung Swing Decision Swing % Vanguard Investment Series PLC Vanguard 20+ Year Euro Treasury
HSBC Bank Plc Global Markets MiFID II Ex-ante Costs and Charges Disclosures
HSBC Bank Plc Global Markets MiFID II Ex-ante Costs and Charges Disclosures PUBLIC Introduction Throughout this document references to we, our and us are references to HSBC Bank plc. References to you
Option replication: an innovative approach to face a non-performing market environment
Option replication: an innovative approach to face a non-performing market environment Presentation for Mondo Hedge November 2010 Contents 1 Motivation to option replication 2 Illustrations of option replication
Assessing Value-at-Risk
Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: April 1, 2018 2 / 18 Outline 3/18 Overview Unconditional coverage
Information Share, or, measuring the importance of different markets
Information Share, or, measuring the importance of different markets The Information Share concerns ways of measuing which market place is most important in price discovery. It is attributed to?. It is
RISK EVALUATION IN FINANCIAL RISK MANAGEMENT: PREDICTION LIMITS AND BACKTESTING
RISK EVALUATION IN FINANCIAL RISK MANAGEMENT: PREDICTION LIMITS AND BACKTESTING Ralf Pauly and Jens Fricke Working Paper 76 July 2008 INSTITUT FÜR EMPIRISCHE WIRTSCHAFTSFORSCHUNG University of Osnabrueck
RISK DASHBOARD. January
EIOPA-BoS/18-37 25 January 218 RISK DASHBOARD January 218 1 Risks Level Trend 1. Macro risks High 2. Credit risks Medium 3. Market risks Medium 4. Liquidity and funding risks Medium 5. Profitability and
Avantage Reply FRTB Implementation: Stock Take in the Eurozone and the UK
Avantage Reply FRTB Implementation: Stock Take in the Eurozone and the UK Gary Dunn Senior Advisor g.dunn@reply.com Hadrien van der Vaeren Manager h.vandervaeren@reply.com Disclaimer The information and
May 31, The big picture Our forecasts
May 31, 2017 The big picture Our forecasts Letter to Investors How much of a Trump effect is in the markets? Why do markets merely shrug when the new U.S. president fails prominently with his first major
Disclosure of European Embedded Value (summary) as of September 30, 2011
November 24, 2011 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of September 30, 2011 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo
Calculating VaR. There are several approaches for calculating the Value at Risk figure. The most popular are the
VaR Pro and Contra Pro: Easy to calculate and to understand. It is a common language of communication within the organizations as well as outside (e.g. regulators, auditors, shareholders). It is not really
RISK DASHBOARD. July
EIOPA-BoS/18-312 24 July 218 RISK DASHBOARD July 218 1 Risks Score Trend 1. Macro risks Medium 2. Credit risks Medium 3. Market risks Medium 4. Liquidity and funding risks Medium 5. Profitability and solvency
Vladimir Spokoiny (joint with J.Polzehl) Varying coefficient GARCH versus local constant volatility modeling.
W e ie rstra ß -In stitu t fü r A n g e w a n d te A n a ly sis u n d S to c h a stik STATDEP 2005 Vladimir Spokoiny (joint with J.Polzehl) Varying coefficient GARCH versus local constant volatility modeling.
Performance of Foreign Mutual Funds marketed in Portugal
10 21 30 31 42 47 48 49 51 73 74 85 75 76 77 79 86 Performance of Foreign Mutual Funds marketed in Portugal Date: 02/09/2016 DISCLAIMER The information contained in this file has been drawn up in accordance
Guide to Managed Futures
Guide to Managed Futures Why Managed Futures? Potential Benefits of Managed Futures Historical Performance Managed futures have historically withstood a number of major market scenarios. In fact, over
Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan
Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan Dr. Abdul Qayyum and Faisal Nawaz Abstract The purpose of the paper is to show some methods of extreme value theory through analysis
Risk and Return of Short Duration Equity Investments
Risk and Return of Short Duration Equity Investments Georg Cejnek and Otto Randl, WU Vienna, Frontiers of Finance 2014 Conference Warwick, April 25, 2014 Outline Motivation Research Questions Preview of
RISK DASHBOARD. April
EIOPA-BoS/18-176 27th April 218 RISK DASHBOARD April 218 1 Risks Level Trend 1. Macro risks High 2. Credit risks Medium 3. Market risks Medium 4. Liquidity and funding risks Medium 5. Profitability and
Vanguard funds month-end NAV report
Vanguard funds month-end NAV report Fund Full Name February 2018 March 2018 NAVs Swing Factor Vanguard 20+ Year Euro Treasury Index Fund Institutional EUR Shares 204.4639 204.1373 0.16% 0.16% 0% Vanguard
yuimagui: A graphical user interface for the yuima package. User Guide yuimagui v1.0
yuimagui: A graphical user interface for the yuima package. User Guide yuimagui v1.0 Emanuele Guidotti, Stefano M. Iacus and Lorenzo Mercuri February 21, 2017 Contents 1 yuimagui: Home 3 2 yuimagui: Data
Week in Markets. FTSE Equity Indices Week MTD Mar 17 Feb 17 QTD YTD. MSCI Equity Indices Week MTD Mar 17 Feb 17 QTD YTD
Week ending 7 April, 2017 Page 1 of 8 FTSE Equity Indices Week MTD Mar 17 Feb 17 QTD YTD UK FTSE All Share 0.6 0.6 1.2 3.1 0.6 4.7 23.5 FTSE 0.5 0.5 1.1 3.1 0.5 4.2 24.6 FTSE 250 1.5 1.5 1.4 3.5 1.5 7.0
Factsheet: Deutsche Bank Best Allocation - Protect 90
Marketing Material Factsheet: Deutsche Bank Best Allocation - Protect 90 Guarantee Funds January 2018 As at 31/01/2018 Fund Data Investment Policy The Fund pursues a dynamic capital preservation strategy
Deutsche Asset Management. DWS Guarantee Fund Top Reporting
Deutsche Asset Management DWS Guarantee Fund Top Reporting Edition January 2018 Legal Disclaimer Please note that the information from Morningstar, FERI and Lipper Leaders relates to the previous month.
Flash Economics. What happens when the Federal Reserve starts raising its interest rates? 14 September
1 September 1-9 What happens when the Federal Reserve starts raising its interest rates? We think that the economic situation in the United States and the need to build up some monetary policy leeway will
The right timing. TrendConcept Vermögensverwaltung GmbH. Tactical Asset Management Absolute Return Dynamic. Equities Gold Commodities
The right timing Tactical Asset Management Absolute Return Dynamic Equities Gold Commodities Copyright by Copyright by TrendConcept: the company and our investment philosophy The company! Independent portfolio
Asset Allocation Model with Tail Risk Parity
Proceedings of the Asia Pacific Industrial Engineering & Management Systems Conference 2017 Asset Allocation Model with Tail Risk Parity Hirotaka Kato Graduate School of Science and Technology Keio University,
Man Canada AHL DP Investment Fund
Annual Report 2013 Table of Contents Management s Responsibility for Financial Reporting... 2 Independent Auditor s Report... 3 Statements of Net Assets... 4 Statements of Operations... 6 Statements of
Asset Allocation. Cash Flow Matching and Immunization CF matching involves bonds to match future liabilities Immunization involves duration matching
Asset Allocation Strategic Asset Allocation Combines investor s objectives, risk tolerance and constraints with long run capital market expectations to establish asset allocations Create the policy portfolio
RISK DASHBOARD. October
EIOPA-BoS/17-29 26 October 217 RISK DASHBOARD October 217 1 Risks Level Trend 1. Macro risks High 2. Credit risks Medium 3. Market risks Medium 4. Liquidity and funding risks Medium 5. Profitability and
Schroders H1 Results. Data Pack July 2016
Schroders 2016 H1 Results Data Pack July 2016 Contents Page Assets under management (AUM) 2 Regional diversification of AUM 3 Gross sales and net flows 4-5 Currency profile of AUM 6-7 AUM diversification
International Exchange Holiday and Expiration Date Calendar
Dates are based on the local time zone of each exchange. Expirations Key Denotes an Expiration Date 1. US & Canadian options 2. E-CBOT 10-Year Treasury Note 3. E-CBOT Mini-sized Dow 4. CME E*mini S&P 500
Trend-following strategies for tail-risk hedging and alpha generation
Trend-following strategies for tail-risk hedging and alpha generation Artur Sepp FXCM Algo Summit 15 June 2018 Disclaimer I Trading forex/cfds on margin carries a high level of risk and may not be suitable
PrObEx and Internal Model
PrObEx and Internal Model Calibrating dependencies among risks in Non-Life Davide Canestraro Quantitative Financial Risk Analyst SCOR, IDEI & TSE Conference 10 January 2014, Paris Disclaimer Any views
STANDARD TARIFF SCALE
AMERIABANK CJSC 17TR PL 72-20 Page 1/8 Approved by Management Board Decision 07/37/15 as of December 23, 2015 Chairman of the Management Board General Director Artak Hanesyan December 28, 2015 ANNEX 1
UK Reporting Fund Status (UKRFS)
UK Reporting Status (UKRFS) Final Report to Participants Vanguard s, plc UK Reporting Status (UKRFS) Account period: 1 July 2017 to 30 June 2018 All share classes included below remain Reporting s at 31
Vanguard funds month-end NAV report
Vanguard funds month-end NAV report Fund Full Name March 2018 April 2018 NAVs Swing Factor Swing Decision Swung Unswung Swing Decision Swing % Vanguard 20+ Year Euro Treasury Index Fund Institutional EUR
KB Elite Multi Asset Balanced Fund
KB Elite Multi Asset Balanced Fund Quarterly update, Q4 2014 For professional use only Key events in Q4 2014 October Islamic state forces besiege the Syrian border town of Kobane Bank of Japan announces
Berlin, 10 th February 2017
Forecasting the Distribution of Hourly Electricity Spot Prices - Accounting for Cross Correlation Patterns and Non-Normality of Price Distributions Arne Vogler Co-Authors: Christoph Weber, Christian Pape
YCAP FUND YCAP TACTICAL INVESTMENT YCAP EUROPEAN TACTICAL INVESTMENT*
Société d'investissement à Capital Variable R.C.S. Luxembourg B 172172 (Unaudited) Semi-Annual Report as at June 30, 2017 YCAP TACTICAL INVESTMENT YCAP EUROPEAN TACTICAL INVESTMENT* No subscription can
Week in Markets. FTSE Equity Indices Week MTD Jul 12 Jun 12 QTD YTD. MSCI Equity Indices Week MTD Jul 12 Jun 12 QTD YTD
Week ending 24 August, 20 Page 1 of 8 FTSE Equity Indices Week MTD Jul Jun QTD YTD UK FTSE All Share -1.3 3.2 1.3 4.8 4.6 8.0 15.5 FTSE -1.3 3.2 1.2 5.0 4.5 6.8 15.3 FTSE 250-1.4 3.0 2.1 3.8 5.2 15.6 17.5
Q QUARTERLY PERSPECTIVES
Q2-219 QUARTERLY PERSPECTIVES Tavistock Wealth - Investment Team Outlook Christopher Peel - John Leiper - Andrew Pottie - Sekar Indran - Alex Livingstone India Turnbull - Jonah Levy - James Peel Welcome
KB Elite Multi Asset Balanced Fund. Quarterly update, Q1 2014
KB Elite Multi Asset Balanced Fund Quarterly update, Q1 2014 Key events in Q1 2014 January China releases economic data for 2013 showing slowest rate of growth since 1999 Russia hosts 2014 Winter Olympics
THRESHOLD PARAMETER OF THE EXPECTED LOSSES
THRESHOLD PARAMETER OF THE EXPECTED LOSSES Josip Arnerić Department of Statistics, Faculty of Economics and Business Zagreb Croatia, jarneric@efzg.hr Ivana Lolić Department of Statistics, Faculty of Economics
RISKELIA FUND. Organisation 2. Statistics 4
Société d'investissement à Capital Variable R.C.S. Luxembourg B 172172 (Unaudited) Semi-Annual Report as at June 30, 2015 No subscription can be received on the basis of financial reports. Subscriptions
April 21, U.S. equities 4 International equities 4 Sector Performance 5
April 21, 2017 Cross Market Overview 2 Equity Markets U.S. equities 4 International equities 4 Sector Performance 5 Fixed Income Markets U.S. fixed income returns 6 U.S. fixed income spreads 7 U.S equity
FUTURES PRICES. Grain and Oilseed Futures. Thursday, December 21, 2006
Grain and Oilseed Futures 23 LIFETIME OPEN OPEN HIGH LOW SETTLE CHG HIGH LOW INT Corn (CBT)-5,000 bu.; cents per bu. Mar 373.00 378.50 372.75 377.75 +5.00 393.50 245.25 590,136 May 381.00 386.25 381.00
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Consider
Information Share. Bernt Arne Ødegaard 29 May 2018
Information Share Bernt Arne Ødegaard 29 May 2018 Contents 1 Information Share, or, measuring the importance of different markets 1 1.1 Setup................................................... 1 1.2 Information
IMPORTANT NOTICE TO THE SHAREHOLDERS
IMPORTANT NOTICE TO THE SHAREHOLDERS 2 January 2018 Further to the notice dated 2 January 2018 regarding the change of names of certain sub-funds and share classes of the Company, a full list showing the
Statement of assets NS MODEL BALANCED USD. As of Performance Overview Page 1. Performance Evolution Page 2. Reference Currency :
Statement of assets As of 25.1.215 Performance Overview Page 1 Reference Currency : USD Performance Evolution Page 2 Asset Allocation Overview Page 3 Currency Hedge Page 5 Detailed positions Page 6 Performance
OPTIMTRADER PRICING Premium Pricing Structure
OPTIMTRADER PRICING Premium Pricing Structure PREMIUM Pricing Structure is based on monthly active trading volume. Trading with the platform OptimTrader is subject to CM-Equity general terms and conditions.
Amendments to the Price List of Eurex Clearing AG
Eurex Clearing Circular 029/19 Amendments to the Summary This circular contains information with respect to Eurex Clearing AG s service offering and corresponding amendments to the Price List of Eurex
Seven-year asset class forecast returns, 2015 update
Schroders Seven-year asset class forecast returns, 2015 update Craig Botham Emerging Markets Economist Introduction Our seven-year returns forecast builds on the same methodology which has been applied
Robotics and Automation - A Growing Trend
Let's Talk Charts December 6, 2017 Robotics and Automation - A Growing Trend Chart of the Day 160 150 140 130 90 ROBO MSCI ROBO The Global Robotics and Automation ETF has gained 45.10% YTD (as at December
Market Risk Analysis Volume II. Practical Financial Econometrics
Market Risk Analysis Volume II Practical Financial Econometrics Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume II xiii xvii xx xxii xxvi
Diversification Reconsidered: Minimum Tail Dependency
Diversification Reconsidered: Minimum Tail Dependency Bernhard Pfaff bernhard_pfaff@fra.invesco.com Invesco Asset Management Deutschland GmbH, Frankfurt am Main 6th R/Rmetrics Meielisalp Workshop June
ILLUSTRATIVE SCENARIOS FOR GEF-5 CONTRIBUTIONS
Fifth Meeting for the Fifth Replenishment of the GEF Trust Fund March 9-10, 2010 Rome, Italy GEF/R.5/27 February 16, 2010 ILLUSTRATIVE SCENARIOS FOR GEF-5 CONTRIBUTIONS (PREPARED BY THE WORLD BANK AS TRUSTEE)
DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS
DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS Panna Miskolczi University of Debrecen, Faculty of Economics and Business, Institute of Accounting and Finance, Debrecen, Hungary
Expiration Key. Holidays Key
1. US & Canadian options 2. E-CBOT 10 Year Treasury Note 3. E-CBOT Mini-sized Dow 4. CME E*mini S&P 500 5. Eurex stock options and index options 6. Liffe FTSE 100 Expiration Key Denotes an Expiration Date
Eurex OTC Clear. Fee model for IRS & ZCIS
Eurex OTC Clear Fee model for IRS & ZCIS EurexOTC Clear for Interest Rate Swaps: Overview of Fee Models Standard Fee Model Volume Rebates Characteristics Booking fee depending on trade size and residual
Performance to 30th September Fund Factsheet. IFSL Sinfonia Risk Targeted Fund Range
Performance to 30th September 2017 Fund Factsheet IFSL Sinfonia Risk Targeted Fund Range IFSL Sinfonia OEIC s Performance to 30 th September 2017 Investment Commentary Market Overview Global equities achieved