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The Edhec-Risk Institute has released a publication which proposes a formal analysis of the optimal investment policy and risk management practices of sovereign wealth funds.
The publication, “Asset-Liability Management Decisions for Sovereign Wealth Funds,” contains the results of the first-year research work conducted at Edhec-Risk Institute within the Deutsche Bank research chair on asset-liability management techniques for sovereign wealth fund management.
Under the responsibility of Professor Lionel Martellini, the scientific director of Edhec-Risk Institute, this chair examines optimal allocation policies for sovereign wealth funds.
The publication proposes a formal analysis of the optimal investment policy and risk management practices of
Derivatives exchange Eurex says November has become the most successful month for the Eurex Kospi Product based on the Kospi 200 options available on the Korea Exchange with a record daily volume of 14,636 on 4 November.
The total number of traded contracts since their launch on 30 August 2010 is more than 87,000.
Volumes are expected to rise as KRX and Eurex further develop the after-hours market for the derivatives contract.
In addition to improved bid ask spreads in the order book, one driver of recent volume growth has been the use of Eurex’s block trading functionality.
In order
NYSE Euronext’s wholly owned subsidiary NYSE Technologies plans to launch a consolidated tape for European equity markets beginning in quarter three 2011.
The tape will be available both as a real-time consolidated data feed and as a 15-minute delayed “Tape of Record”.
The Tape of Record will be free of charge to all investors and will be made broadly available via both the internet and market data vendors.
The consolidated tape will contain complete coverage of post-trade equities data from all European regulated exchanges, MTFs, and OTC markets.
NYSE Technologies will invite other markets to partner in providing consolidated
By Doug Nairne – One of the most important changes in the global financial industry over the past three years, and indeed the business environment as a whole, is the increased importance placed upon due diligence. That means paying closer attention not just to counterparties in order to detect any evidence of fraud – although this is certainly a vital component – but also wider issues, especially legal ones, to see whether they could have any detrimental effect on a firm’s business.
For example, an important focus for business is the possible impact of the new UK Bribery Act, which
By Simon Gray – Risk is the element that hedge fund managers above all others, are supposed to thrive on, but members of the industry long ago understood that there are many more facets to the concept than the market volatility that brings opportunities to the strong-nerved. Indeed, the past few years have highlighted the factors memorably described by US Secretary of Defence Donald Rumsfeld, in another context, as “unknown unknowns” – risks that could not be protected against because their very possibility was not conceived of.
A recent white paper from Advent Software on Managing Risk in a New
By Paul Compton – The traumatic crisis that engulfed the industry two years ago prompted a renewed concern among many hedge fund managers to gain control over their positions and exposures. Traumatised investors started asking managers many more questions about how positions were being valued, and even, in the wake of Madoff, whether the assets the fund claimed actually existed. This greater activism on the part of investors has turned out to be a lasting phenomenon, with managers under pressure to answer questions continually about their investment exposures and operational risk.
Meanwhile, hedge fund managers also have to deal with
By Lance Smith – The market turbulence of the past three years has exposed a number of flaws and limitations in traditional approaches to risk management. In the aftermath of the crisis, investors are increasingly pressuring alternative investment managers to ensure the most advanced and appropriate tools and methodologies are being used to deliver the most robust risk management process possible.
In assessing risk management methods, timeliness requirements may be divided into three categories: real time, intra-day and end-of-day. Real-time risk measurement is vital, for instance, for option traders who need tick-by-tick deltas, but less essential to long/short equity
By Simon Gray – The alternative investment management industry has already had to come to terms with a wholesale shake-up in attitudes toward risk assessment and management in response to demand from investors. They are no longer willing to take on trust promises that managers are doing what they say they’re doing. In addition, investors need assurance that managers are equipped with all the tools and system necessary to protect themselves not only against the predictable volatility of markets but unlikely and improbable events too.
The about-face on the part of both private and institutional investors, many of which withdrew
Insparo Asset Management has added Merihan Tadrous to its operations team.
As operations analyst, Tadrous will work closely with chief operating officer Jon Laidlow and finance and operations manager James Gore in the day-to-day operations management of the firm’s Africa and Middle East fund.
The Insparo Africa & Middle East Fund makes investments in a range of sectors across the MENA and Sub-Saharan Africa regions.
In her day to day role, Tadrous will be responsible for all operational duties including trade settlement cycle, cash and position reconciliations for Insparo, which offers frontier market investment opportunities through the fund.
Moody’s has extended its hedge fund Operational Quality Rating Methodology to encompass managed accounts.
Moody’s will use the same OQ rating definition, scale and approach for managed accounts, including managed account platforms, as for a traditional hedge fund.
"The operational risk analysis for hedge fund shareholders and managed account holders is similar," says Joanne Job, Moody’s analyst and author of the rating implementation guidance. "We therefore felt it was appropriate to use a modified version of our existing Operational Quality rating methodology to analyse the risk associated with managed accounts."
Estimates suggest that the top ten managed account platforms exceed
