Equity Risk, Credit Risk, Default Correlation, and Corporate Sustainability
... Defaults are usually rare events so it’s impossible to directly observe default correlations over time The book value of firm assets is a very incomplete measure of firm assets, so observing asset volatility and asset correlations across firms are very weak estimates Equity return volatility a ...
... Defaults are usually rare events so it’s impossible to directly observe default correlations over time The book value of firm assets is a very incomplete measure of firm assets, so observing asset volatility and asset correlations across firms are very weak estimates Equity return volatility a ...
This PDF is a selection from a published volume from... Research Volume Title: Asset Prices and Monetary Policy
... other instruments to use to address such bubbles. In reaching this conclusion, I would emphasize that the need for new tools has increased. As the role of depository institutions has diminished in the financial system relative to the capital markets, the tools of prudential supervision and regulatio ...
... other instruments to use to address such bubbles. In reaching this conclusion, I would emphasize that the need for new tools has increased. As the role of depository institutions has diminished in the financial system relative to the capital markets, the tools of prudential supervision and regulatio ...
Our Investment Process - Horbury Financial Services
... ‘cautious’, ‘balanced’ or ‘aggressive’ can mean different things to different people. That is why we aim to make our assessment of your attitude to risk as objective as possible. The next stage of the process is a discussion about what your risk profile score means. Your resulting risk profile score ...
... ‘cautious’, ‘balanced’ or ‘aggressive’ can mean different things to different people. That is why we aim to make our assessment of your attitude to risk as objective as possible. The next stage of the process is a discussion about what your risk profile score means. Your resulting risk profile score ...
the optimal portfolio - Vista Capital Partners
... In contrast, passive management is a buy-andhold approach that makes no attempt to pick “attractive” over “unattractive” securities or time the market. Passive management, commonly referred to as “indexing”, is based on the belief that markets are reasonably efficient. That is, prices reflect a secu ...
... In contrast, passive management is a buy-andhold approach that makes no attempt to pick “attractive” over “unattractive” securities or time the market. Passive management, commonly referred to as “indexing”, is based on the belief that markets are reasonably efficient. That is, prices reflect a secu ...
A Modern, Behavior-Aware Approach to Asset Allocation and
... years as evidenced by timeless proverbs like “don’t put all your eggs in one basket.” The magic behind diversification – and one of the reasons it is considered the only “free lunch” available in investing – is that a portfolio of assets will always have a risk level less-than-or-equal-to the riskie ...
... years as evidenced by timeless proverbs like “don’t put all your eggs in one basket.” The magic behind diversification – and one of the reasons it is considered the only “free lunch” available in investing – is that a portfolio of assets will always have a risk level less-than-or-equal-to the riskie ...
New risks. New insights.
... Holdings-based analysis, a pillar of BlackRock’s risk-first approach, helps us better understand the real-time risk profile of the portfolio — based on current holdings instead of past returns. This technique is designed to complement other returns-based methodologies and help advisors in two keys w ...
... Holdings-based analysis, a pillar of BlackRock’s risk-first approach, helps us better understand the real-time risk profile of the portfolio — based on current holdings instead of past returns. This technique is designed to complement other returns-based methodologies and help advisors in two keys w ...
Steady as she goes?
... The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index, with each stock’s weight in the index proportionate to its market value. The S&P MidCap 400 Index measures the performance of the mid-size company segme ...
... The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index, with each stock’s weight in the index proportionate to its market value. The S&P MidCap 400 Index measures the performance of the mid-size company segme ...
Large Cap Research Equity
... This document does not constitute an offer to sell or the solicitation of an offer to purchase shares or other securities. The Portfolio is available exclusively to, and the information provided above is designed for, certain qualified retirement plans and their participants and beneficiaries as des ...
... This document does not constitute an offer to sell or the solicitation of an offer to purchase shares or other securities. The Portfolio is available exclusively to, and the information provided above is designed for, certain qualified retirement plans and their participants and beneficiaries as des ...
Analysis of application-specific requirements for estimation of risk
... • For risk-management, portfolio sensitivity to interest rate shocks is more valuable than prices of individual instruments. • Basel II proposes a quick and dirty approach to interest rate risk: gap-analysis. – OIS+swaps are used for discounting. ...
... • For risk-management, portfolio sensitivity to interest rate shocks is more valuable than prices of individual instruments. • Basel II proposes a quick and dirty approach to interest rate risk: gap-analysis. – OIS+swaps are used for discounting. ...
The value of illiquidity
... prohibited. Any statements made regarding investment performance objectives, risk and/or return targets shall not constitute a representation or warranty that such objectives or expectations will be achieved or risks are fully disclosed. The information and opinions contained in this document is bas ...
... prohibited. Any statements made regarding investment performance objectives, risk and/or return targets shall not constitute a representation or warranty that such objectives or expectations will be achieved or risks are fully disclosed. The information and opinions contained in this document is bas ...
A quantitative take on recent market volatility
... in these commentaries at the time of publication; however, accuracy cannot be guaranteed. Market conditions may change and the manager accepts no responsibility for individual investment decisions arising from the use of or reliance on the information contained herein. Commissions, trailing commissi ...
... in these commentaries at the time of publication; however, accuracy cannot be guaranteed. Market conditions may change and the manager accepts no responsibility for individual investment decisions arising from the use of or reliance on the information contained herein. Commissions, trailing commissi ...
Combining active and passive managements in a portfolio
... of this boom for indexing and passive solutions—yet investor inflows into alternatives have been very strong. Another study, conducted by Cliffwater and Lyxor, found that the weighting of alternatives in U.S. state pension funds has more than doubled recently, from 10% in 2006 to 24% in 20132. Despi ...
... of this boom for indexing and passive solutions—yet investor inflows into alternatives have been very strong. Another study, conducted by Cliffwater and Lyxor, found that the weighting of alternatives in U.S. state pension funds has more than doubled recently, from 10% in 2006 to 24% in 20132. Despi ...
Performance Evaluation
... 1) Performance of a fund should be measured by computing the actual rates of return on a fund’s assets 2) These rates of return should be based on the market value of the fund’s assets ...
... 1) Performance of a fund should be measured by computing the actual rates of return on a fund’s assets 2) These rates of return should be based on the market value of the fund’s assets ...
