The aim of this paper is to extend Variational AutoEncoders (VAE) to allow for heavy tailed distribution of the latent space and apply them to the problem of market risk of large portfolios.
This paper investigates the relationship between news sentiment and corporate bond yield spreads, including assymmetry and sentiment-based bond investing.
In this paper, we investigate the interaction between Refinitiv ESG scores of firms and the performance of corporate bonds issued by these firms. We provide a rather straight-forward analysis of the relationship between ESG scores and corporate bond yields.
This white paper addresses the question of the value of alternative data in the investment process with the Refinitiv News Analytics Data.
In November 2021, we organized a roundtable regarding the application of expert judgment and overrides in behavioral modeling of prepayments and savings, including interest rates, COVID-19, and elasticity of savings.
In this paper, we discuss how reinforcement learning can be successfully applied to hedging of options and show that these machine learning algorithms can “transfer” knowledge obtained from simulated data to the real-world option trading environment.
In this whitepaper, we describe the model risk management cycle and crucial elements which are needed for successful model management. After reading this whitepaper, you will develop an understanding of the key model development steps and key model risks for these steps, as well as possible practical solutions to address the risks.
The goal of this paper is to show how sustainability considerations can be combined with multifactor investment strategies, and to demonstrate that adding sustainability considerations to these strategies does not diminish their performance.
In this paper, we examine the critical changes to the revised market risk framework. Including a general overview of the FRTB framework, the Standardised Approach (SA), and the FRTB Simplified Standardised Approach (SSA). This paper gives a high-level overview of the new regulatory standards without going into all the methods’ calculation details. The final section describes the new framework’s challenges for banking institutions.
In this paper, we explore sentiment in the framework of multifactor investment strategies. We investigate the relationships between sentiment-based and more traditional factor strategies and show that sentiment offers an additional signal that can contain information that is not incorporated in traditional investment factors.