Finance

• 2024 Fixed Income Outlook in One Word: Batman!

  Loop Capital · Report

  January 2024 2024 Fixed Income Outlook in One Word: Batman! At a recent conference, we were asked to summarize the state of the U.S. bond market in a single word. Unlike asset classes promising higher returns and lower volatility, bonds do not have superpowers.

  Also filed under Risk Management, Corporate Finance

• 2024 Regulations: How They Impact Your Compliance Training Programs

  BAI is Bank Administration Institute and BAI Center · Report

  "2024 Regulations: How They Impact Your Compliance Training Programs" is a timely and essential guide for financial institutions, offering an in-depth exploration of the regulatory landscape and its influence on compliance training. The book addresses the evolving nature of regulations and provides practical strategies to ensure that institutions meet these challenges head-on, preparing their staff for an increasingly complex compliance environment. Key Highlights: Comprehensive Overview of 2024 Regulatory Changes: This book outlines the significant regulatory changes coming in 2024, breaking down their potential impacts on financial institutions. It explores how new and revised regulations affect key areas like data privacy, anti-money laundering (AML), cybersecurity, and financial reporting. Impact on Compliance Programs: The authors focus on the direct impact of these regulatory changes on compliance training programs. The book explains how institutions need to adapt their training content, delivery methods, and tracking mechanisms to stay compliant with the latest regulations. Adapting Training Programs to New Regulatory Demands: Curriculum Updates: The book highlights the need for compliance programs to be regularly updated to reflect changes in the regulatory environment, ensuring that staff members are well-equipped to navigate new rules. Tailored Training Approaches: Emphasizing the importance of personalized and role-specific training, the authors offer strategies for creating customized learning experiences that meet the needs of different departments within the institution. Technological Solutions for Compliance Training: Given the growing importance of technology in compliance, the book discusses how institutions can leverage learning management systems (LMS), automated compliance tools, and e-learning platforms to efficiently deliver up-to-date training content and monitor employee progress. Risk Management and Mitigation: The book also explores how compliance training can help mitigate risks related to regulatory breaches. By equipping employees with the knowledge of new regulations, institutions can reduce the likelihood of non-compliance and avoid costly penalties. Engagement and Retention in Training Programs: An essential aspect of any training program is ensuring engagement and retention of information. The authors delve into methods for making compliance training more interactive, engaging, and memorable, using real-world scenarios, case studies, and gamification techniques to enhance learning. Tracking and Measuring Effectiveness: The authors emphasize the importance of measuring the effectiveness of compliance training programs. The book provides guidance on how institutions can track employee progress, assess knowledge retention, and adjust training approaches based on data and feedback. Regulatory Trends to Watch Beyond 2024: The book goes beyond 2024, offering insights into the regulatory trends that are expected to shape compliance training in the coming years. This forward-looking perspective helps institutions stay proactive in preparing for future changes.

  Also filed under Corporate Finance, Risk Management

• A Supervisory Framework for Assessing Nature-Related Financial Risks: Identifying and Navigating Biodiversity Risks

  Riccardo Boffo, Hugh Miller, Juan Pavajeau Fuentes, Giulio Mazzone, Geraldine Ang · Report

  This OECD report presents a methodological supervisory framework to help central banks and financial supervisors assess biodiversity-related financial risks within their financial sectors. It outlines a four-step approach covering risk identification and prioritization, economic risk assessment, financial risk transmission channels (credit, market, and liquidity risks), and supervisory considerations. The framework translates ecosystem service degradation into quantifiable financial risks while accounting for interconnections with climate change and broader environmental degradation.

  Also filed under Risk Management, Corporate Finance

• Addressing Infrastructure Funding and Retirement Security through Islamic Finance: Sukuk SeLFIES

  Mustafa Dereci, Mehmet Gerz, Arun S. Muralidhar · Report

  "Addressing Infrastructure Funding and Retirement Security through Islamic Finance: Sukuk SeLFIES" is an insightful guide that explores the potential of Islamic finance to address two critical global challenges: infrastructure funding and retirement security. Authored by Mustafa Dereci, Mehmet Gerz, and Arun S. Muralidhar, the book introduces the innovative SeLFIES framework, which combines Sukuk (Islamic bonds) with long-term infrastructure investments to ensure both economic sustainability and financial security for individuals in the long term. Key Highlights: Introduction to Islamic Finance and Sukuk: The book starts by explaining the principles of Islamic finance, including the prohibition of interest (Riba) and the use of asset-backed securities. It provides an in-depth look at Sukuk, an important financial instrument that complies with Islamic law and facilitates investment in infrastructure projects. The SeLFIES Framework: The authors introduce the SeLFIES model, which stands for Sukuk for Long-term Financing of Infrastructure and Economic Sustainability. This innovative approach aims to combine the benefits of Sukuk with the urgent need for infrastructure funding and long-term retirement solutions. The framework shows how Islamic finance can be a viable tool for creating a sustainable future. Infrastructure Funding and Challenges: One of the primary focuses of the book is the growing global demand for infrastructure financing. The authors examine how traditional funding methods often fall short and how Sukuk can be utilized to fill this gap. By raising funds for infrastructure projects, Sukuk provides a mechanism for sustainable economic growth while adhering to Islamic financial principles. Retirement Security through Islamic Finance: The book discusses the challenges related to retirement funding, especially in economies with aging populations. It presents how SeLFIES can help individuals build long-term savings through asset-backed securities, addressing the dual need for infrastructure investment and retirement security. Real-World Applications and Case Studies: With practical examples and case studies, the book demonstrates the successful use of Sukuk in funding infrastructure projects and enhancing retirement security. It highlights the economic impact and scalability of the SeLFIES model across different regions and sectors. Social and Economic Impact: The book concludes by showcasing the broader economic and social benefits of using Sukuk and SeLFIES. This includes financial inclusion, job creation, and the promotion of ethical and socially responsible investments.

  Also filed under Corporate Finance, Quant Finance

• All about Barrier Options

  Author Unknown · Report

  Introduction to Barrier Options 2. These options are particularly useful in cases where the buyer is only interested in payoffs under certain conditions. This fea- ture makes barrier options more cost-effective than vanilla options, as certain outcomes are excluded. Barrier options offer a cost-saving alternative to vanilla options.

  Also filed under Risk Management

• An Inquiry into the Nature and Causes of the Wealth of Nations

  Adam Smith · Book

  Seminal book by Adam Smith (1776). Access: public-domain. Source: https://www.gutenberg.org/ebooks/3300

  Also filed under Economics, Trade

• An Introduction To Alternative Credit

  Alfonso Ricciardelli, Philip Clements, Trevor Castledine, Kathryn Saklatvala,Thibault Sandret, Stephan Connelly, David Preston, Nils Hertzner, Nikita Saygakov, Dave Skirzenski, Adil Hasan, Nick Cleary, Zack Ellison, Mike Dowdall · Book

  "An Introduction to Alternative Credit" is a comprehensive guide to the growing field of alternative credit investments, a crucial segment of modern financial markets. The book explores various forms of non-traditional lending, including private debt, structured credit, and direct lending, providing valuable insights for institutional investors, asset managers, and financial professionals. Key Topics Covered: Understanding Alternative Credit: An overview of alternative credit markets, their evolution, and their role in the financial system. Private Debt & Direct Lending: Examines the rise of private credit as an alternative to traditional bank loans, focusing on middle-market lending, mezzanine debt, and unitranche financing. Structured Credit & Securitization: Explains structured financial instruments such as collateralized loan obligations (CLOs), asset-backed securities (ABS), and mortgage-backed securities (MBS). Distressed Debt & Special Situations: Covers strategies for investing in distressed companies, non-performing loans (NPLs), and turnaround opportunities. Risk & Return Characteristics: Analyzes the risk-reward trade-offs in alternative credit, comparing it to traditional fixed-income investments. Market Trends & Regulatory Landscape: Discusses how regulatory changes, macroeconomic factors, and interest rate environments affect alternative credit strategies. Institutional Investor Perspectives: Provides insights into how pension funds, insurance companies, and endowments integrate alternative credit into their portfolios. Future of Alternative Credit: Examines emerging trends, including fintech-driven lending, ESG (Environmental, Social, and Governance) considerations, and global market expansion. This book serves as an essential introduction to the alternative credit landscape, offering a blend of theory, market analysis, and practical applications. It is a valuable resource for those looking to understand the role of private and structured credit in modern investment portfolios.

  Also filed under Corporate Finance, Quant Finance

• Applying Factor Models in Pairs Trading

  Author Unknown · Notes

  Store now  The Fama-French model is fully described in the chapter on Factor Models. In the previous chapter, we used the log-returns series of the PEP and KO stocks to create a combined portfolio, applying a Kalman filter to estimate the dynamic relationship between the two returns series. By taking weighted long and short positions in the two stocks, as determined by the βt coefficient estimated in the Kalman model, we were able to eliminate market risk and achieve a returns process that is close to being stationary. However, there is still the question of other risk factors such as size...

  Also filed under Risk Management, Quant Finance

• Artificial Intelligence And Machine Learning In Financial Services: Opportunities And Challenges In Anti-Money Laundering And Combatting The Financing Of Terrorism

  The Association Of The Bar Of The City Of New York · Report

  Introduction ........................................................................................................................ What Are the Definitions of Artificial Intelligence and Machine Learning? What Are Some of the Use Cases for AI/ML in the Financial Services Sector?............ What Are Some of the Risks Associated With AI/ML?

  Also filed under Quant Finance, Machine Learning

• Black, Merton, and Scholes: Their Central Contributions to Economics

  Darrell Duffie (Stanford GSB) · Report

  Duffie's authoritative summary of the intellectual contributions of Black, Merton, and Scholes to economics and finance — covering the Black-Scholes-Merton option pricing framework, its extensions, and its impact on practice. Written on the occasion of the 1997 Nobel Prize.

  Also filed under Quant Finance

• Calculating U.S. Treasury Futures Conversion Factors

  CME Group · Guide

  Treasury Futures Conversion Factors Find out how U.S. Treasury futures are standardized with conversion factors © 2024 CME Group. Treasury Futures Conversion Factors Each cash note or bond eligible for delivery into a Treasury futures contract is assigned a conversion factor, which considers its coupon and the time remaining until maturity as of a specific delivery month. The conversion factor represents the estimated decimal price at which $1 par value of the security would trade if it had a yield to maturity of 6%.

  Also filed under Quant Finance, Corporate Finance

• Capital Asset Prices With and Without Negative Holdings

  William F. Sharpe · Report

  William Sharpe's 1990 Nobel Prize lecture summarizing his contributions to the CAPM and extending the framework to portfolios with short positions. Authoritative primary-source treatment of the model that earned Sharpe the prize.

  Also filed under Quant Finance, Risk Management

• Carbon Market Principles

  JP Morgan Chase & Co · Report

  JPMorgan Chase & Co.'s "Carbon Market Principles" outlines the firm's perspective on the voluntary carbon market's role in achieving net-zero emissions. The document highlights key challenges and sets forth principles to guide the firm's engagement in the voluntary carbon market. Key Highlights: Role of Voluntary Carbon Markets: The paper emphasizes the importance of voluntary carbon markets in facilitating emissions reductions beyond regulatory requirements, supporting corporate sustainability goals, and driving innovation in carbon offset projects. Challenges in the Voluntary Carbon Market: It identifies challenges such as ensuring the additionality of carbon credits, maintaining transparency, preventing double-counting, and establishing standardized methodologies for measuring and verifying emissions reductions. JPMorgan Chase & Co.'s Carbon Market Principles: The firm introduces guiding principles to address the identified challenges and align with best practices: Additionality: Ensuring that carbon credits represent genuine emissions reductions that would not have occurred without the project. Transparency: Providing clear and accessible information about carbon credit projects, methodologies, and verification processes. Integrity: Adhering to high environmental and social standards, ensuring that projects deliver real and lasting benefits. Standardization: Supporting the development and adoption of standardized approaches for measuring, reporting, and verifying emissions reductions. Innovation: Encouraging the development of new methodologies and projects that enhance the effectiveness and efficiency of carbon markets. Commitment to Progress: JPMorgan Chase & Co. expresses its dedication to collaborating with stakeholders to advance the voluntary carbon market, aiming to overcome existing challenges and contribute to global climate objectives.

  Also filed under Corporate Finance, Risk Management

• Chief Risk Officers Outlook

  World Economic Forum · Book

  The final section examines the role of the risk function in organizational growth and innovation. The survey featured in this briefing was conducted in May 2024. A volatile mid-year outlook: the global perspective _ __________________________ 7 2. The overall global outlook appears

  Also filed under Risk Management, Corporate Finance

• Comprehensive Guide to Volatility Models in Option Pricing

  Amit Kumar Jha · Guide

  At the heart of option pricing lies the concept of volatility - a measure of the uncertainty or risk associated with the magnitude of changes in an asset’s value. This comprehensive guide delves deep into three primary volatility models used in option pricing: the constant volatility model, the local volatility model, and the stochastic volatility model. Understanding these models is crucial for any practitioner in the field of quantitative finance. Each model offers unique insights and applications, with its own set of strengths and limitations.

  Also filed under Quant Finance, Risk Management

• Crypto Market Roundup

  ETC Group · Slides

  ETC Group, a leading provider of cryptocurrency exchange-traded products (ETPs), regularly publishes the "Crypto Market Compass," offering in-depth analyses of the cryptocurrency market's performance, investor sentiment, and emerging trends. Key Highlights from Recent Reports: Record Inflows into Crypto ETPs: In late 2024, ETC Group observed unprecedented net inflows into global crypto ETPs, with weekly inflows reaching $2.94 billion, primarily driven by Bitcoin investments. Impact of U.S. Strategic Crypto Reserve Announcement: In March 2025, President Donald Trump's proposal to include major cryptocurrencies like Bitcoin and Ethereum in the U.S. strategic reserve led to an initial surge in cryptocurrency prices. However, these gains were short-lived, with prices stabilizing at lower levels. Market Volatility and Regulatory Developments: The cryptocurrency market has experienced significant fluctuations, influenced by global economic indicators and policy announcements. Notably, the largest-ever cryptocurrency theft occurred recently, further impacting market sentiment. Positive Sentiment Amidst Global Growth Concerns: Despite global growth risks, ETC Group's "Cryptoasset Sentiment Index" indicated a bullish outlook, reaching levels not seen since March 2024, reflecting renewed investor confidence

  Also filed under Risk Management

• Crypto Theses 2024

  messari.io · Book

  "Crypto Theses for 2024" is Messari's annual report that provides an in-depth analysis of the cryptocurrency market, highlighting key trends, investment themes, influential figures, policy developments, and technical advancements expected to shape the crypto landscape in 2024. Key Highlights: Investment Themes: The report identifies several investment themes poised to influence the crypto market in 2024, emphasizing the importance of permissionless innovation over centralized entities. People to Watch: It profiles top individuals who are expected to have a significant impact on the crypto industry in 2024, offering insights into their contributions and potential influence. Policy Developments: The report examines legislative efforts and policy changes affecting the crypto space, including potential regulations and their implications for the industry. Technical Breakthroughs: It discusses anticipated technical innovations and developments within the crypto ecosystem, highlighting projects and protocols to watch in 2024. Overall, "Crypto Theses for 2024" serves as a comprehensive guide for professionals and enthusiasts seeking to understand and navigate the evolving crypto landscape in the coming year.

  Also filed under Risk Management

• Cryptoassets & Blockchain

  Richard B. Levin, Kevin Tran & Robert Wenner · Guide

  Law Business Research is not responsible for any actions (or lack thereof) taken as a result of relying on or in any way using information contained in this report and in no event shall be liable for any damages resulting from reliance on or use of this information.

  Also filed under Corporate Finance, Risk Management

• Custom Calculation Data Points

  Morningstar. · Report

  Morningstar's Custom Calculation Data Points are specialized metrics that enable users to analyze a portfolio's performance by comparing its actual returns to those predicted based on its risk profile, as indicated by its Beta. These calculations provide deeper insights into investment performance beyond standard metrics. Key Features: Alpha (Excess Return): -Measures the difference between a portfolio's actual returns and its expected returns, given its Beta. -A positive Alpha indicates outperformance relative to the expected return based on Beta. -Calculated using the formula: α = (Average Monthly Excess Return of Investment) – (Beta × Average Monthly Excess Return of Benchmark) -Morningstar annualizes the monthly Alpha to present it in annual terms. Alpha (Non-Excess Return): -Assesses the difference between a portfolio's actual returns and its expected returns without considering its Beta. -A positive value suggests the portfolio has performed better than expected, while a negative value indicates underperformance. -Calculated by subtracting Beta-adjusted benchmark returns from the portfolio's raw returns. -Morningstar also annualizes this monthly Alpha for annual representation. Appraisal Ratio: -Evaluates the abnormal excess return per unit of non-systematic risk taken. -Computed by dividing the unannualized Alpha by the standard error of the residual. -A higher ratio indicates more efficient risk-adjusted returns. Custom Calculated Data Points: Morningstar offers custom calculated versions of certain data points, allowing users to access historical values and tailor calculations to specific analytical needs. For instance, custom calculated data points enable users to see past values for metrics like Morningstar Category, providing insights into a fund's classification history. Creating and Utilizing Custom Data Sets: Users can create custom data sets in Morningstar Direct by selecting relevant data points, including custom calculations, to focus on specific analysis criteria. This customization enhances the precision of performance evaluations and benchmarking processes. Integration with Excel: Morningstar's Excel Add-In allows users to retrieve various data points, including custom calculations, directly into Microsoft Excel. This integration facilitates further data manipulation, formatting, and charting, streamlining the analysis process. By leveraging these custom calculation data points, investors and analysts can gain a nuanced understanding of portfolio performance, enabling more informed investment decisions and comprehensive performance assessments.

  Also filed under Risk Management, Quant Finance

• Dispersion Trading

  Marco Avellaneda · Report

  "Dispersion Trading" by Marco Avellaneda offers an in-depth exploration of a unique and strategic approach to trading options, focusing on the concept of dispersion trading, which involves exploiting the differences between the volatility of individual stocks and the volatility of index options. This book is a comprehensive guide for both novice and experienced traders, aiming to provide insights into the techniques and strategies used in dispersion trading. Key Highlights: Concept of Dispersion Trading: The book introduces dispersion trading, which is based on the notion that individual stock volatilities deviate from the volatility of an index. Traders look to capitalize on these differences by buying or selling options on individual stocks while simultaneously trading index options. Mathematical Foundations: The author delves into the mathematical underpinnings of dispersion trading, using concepts from probability theory, stochastic processes, and statistical analysis to explain the behavior of volatility and correlations between individual stocks and index options. Risk Management: A significant portion of the book is dedicated to risk management strategies. It emphasizes how to mitigate potential risks associated with dispersion trades, such as managing exposure to index movements and individual stock price fluctuations. Modeling and Theoretical Framework: The book discusses various models used to predict price movements, including the Black-Scholes model and other options pricing models. It also presents advanced techniques for assessing the effectiveness of dispersion strategies. Practical Applications: Avellaneda emphasizes real-world applications of dispersion trading in different market conditions. The book provides step-by-step examples of how to execute these trades and evaluate their performance in different market environments. Market Efficiency and Arbitrage Opportunities: The author discusses the role of market efficiency in dispersion trading, outlining how arbitrage opportunities arise from mispricings between individual stock options and index options. He examines the dynamics of these opportunities and the conditions under which they can be exploited.

  Also filed under Quant Finance, Risk Management

• ESG: From Process to Product

  George Serafeim · Report

  "ESG: From Process to Product" is a working paper by George Serafeim that examines the evolution of Environmental, Social, and Governance (ESG) practices from internal corporate processes to marketable investment products. Key Insights: Transformation of ESG Practices: Initially, ESG encompassed internal processes such as measurement, analysis, management, and communication within organizations. Over time, the financial industry has transformed ESG into a product, leading to the proliferation of investment funds labeled as ESG-focused. Resulting Confusion: This shift has caused confusion among investors and stakeholders, as the ESG label is applied broadly without a standardized framework, making it challenging to assess the true impact and intentions of ESG-labeled investment products. Proposed Framework for ESG Products: Serafeim proposes a framework to define the objectives and characteristics of ESG investment products, emphasizing: Intentionality: The deliberate allocation of capital to achieve specific financial, environmental, and/or social outcomes. Measurability: The ability to quantify the outcomes to assess the effectiveness of the ESG strategies employed. Materiality: Focusing on ESG factors that are significant to the financial performance and long-term sustainability of the investment. Additionality: Ensuring that ESG investments lead to positive impacts beyond what would have occurred without the investment. By adopting this framework, the paper aims to reduce confusion and enhance the credibility and effectiveness of ESG-labeled investment products, ensuring they deliver on their promised financial, environmental, and social outcomes.

  Also filed under Corporate Finance, Risk Management

• Examination Priorities

  U.S. Securities And Exchange Commission · Guide

  It is not a rule, regulation, or statement of the U.S. Securities and Exchange Commission (SEC or Commission). The Commission has neither approved nor disapproved its content. This statement, like all staff statements, has no legal force or effect: it does not alter or amend applicable law, and it creates no new or additional obligations for any person.

  Also filed under Risk Management

• Family Offices: A Vestige of the Shadow Financial System

  Chuck Collins & Kalena Thomhave · Report

  An Institute for Policy Studies (IPS) Inequality Briefing Paper (May 2021) examining how family offices accumulate and protect inherited wealth dynasties, their role in the shadow financial system, and the systemic risks they pose — drawing on the 2021 Archegos collapse. Argues for oversight of this under-regulated segment of the financial system.

• Financial Markets & Products for Quants: A Primer

  Amit Kumar Jha · Book

  Introduction to Financial Markets 2 1.1 Stock Market . 6 2.2.8 AT1 (Additional Tier 1) Bonds .

  Also filed under Quant Finance, Corporate Finance

• Financial Ratios Definitive Guide

  Scott Powell, Duncan McKeen, Jeff Schmidt · Guide

  "Financial Ratios Definitive Guide" by Scott Powell, Duncan McKeen, and Jeff Schmidt is an essential resource for anyone looking to understand and apply financial ratios in real-world business analysis. The book provides comprehensive insights into the key ratios used in financial analysis, helping readers better assess a company's performance, financial health, and potential for growth. It is ideal for professionals, investors, and students who want to gain a strong foundation in financial ratio analysis. Key Highlights: Introduction to Financial Ratios: The book begins with an overview of financial ratios, explaining their importance in evaluating a company's financial statements. It covers the basic principles behind ratios and how they reflect various aspects of business performance, such as profitability, liquidity, and solvency. Profitability Ratios: Powell, McKeen, and Schmidt introduce the key profitability ratios used to assess how efficiently a company generates profits from its operations. Ratios such as gross profit margin, operating margin, and return on equity (ROE) are discussed in detail, along with formulas and interpretation tips. Liquidity Ratios: The authors highlight liquidity ratios, which measure a company's ability to meet its short-term obligations. Ratios like the current ratio and quick ratio are explained, providing readers with tools to assess whether a business is well-positioned to cover immediate liabilities. Leverage and Solvency Ratios: Leverage ratios, such as the debt-to-equity ratio, interest coverage ratio, and debt ratio, are thoroughly covered in this guide. These ratios assess how much debt a company has taken on in relation to its equity and its ability to pay off debt. Understanding these ratios is crucial for evaluating a company’s long-term stability. Efficiency Ratios: The book covers efficiency ratios that evaluate how effectively a company uses its assets to generate sales. Ratios like inventory turnover and receivables turnover are discussed, helping analysts assess operational efficiency. Market Ratios: Powell, McKeen, and Schmidt dive into market ratios, which are used to evaluate a company's market performance and investor sentiment. Ratios like the price-to-earnings (P/E) ratio, price-to-book (P/B) ratio, and dividend yield are explored in-depth, helping readers understand how the market views a company's value and growth prospects. Comprehensive Ratio Analysis: The authors provide a step-by-step approach to performing comprehensive financial ratio analysis, teaching readers how to combine multiple ratios to form a holistic view of a company's financial situation. They explain how different types of ratios work together and how to spot red flags or opportunities. Real-World Case Studies: Throughout the book, real-world examples and case studies are provided to demonstrate how financial ratios are applied in practice. These case studies help readers understand how financial ratios are used in decision-making, such as evaluating investment opportunities or analyzing financial performance during mergers and acquisitions.

  Also filed under Corporate Finance, Quant Finance

• FINTECH, DATA & ANALYTICS: Mergers & Acquisitions And Valuation Trends In The Public And Private Markets

  D.A Davindson · Slides

  "FINTECH, DATA & ANALYTICS: Mergers & Acquisitions and Valuation Trends in the Public and Private Markets" is a December 2021 report by D.A. Davidson & Co., authored by Ken Marlin, Vice Chairman of Tech Investment Banking. Key Insights: Resilience Amidst the Pandemic: The report highlights the surprising resilience of the FinTech, Data, and Analytics sectors during the COVID-19 pandemic, with global M&A activity rebounding to record levels in 2021. Strategic M&A Activity: Companies are actively engaging in M&A to expand customer bases, enhance product offerings, and achieve economies of scale. Buyers, including those with substantial cash reserves, are pursuing opportunities to add value beyond what standalone firms might achieve. Market Sustainability and Rationality: Despite high activity levels, the report suggests that the market operates on rational expectations of future performance and risk, with valuations grounded in sustainable business models and recurring revenue streams. Overall, the report provides a comprehensive analysis of the dynamic M&A landscape in the FinTech, Data, and Analytics sectors, emphasizing strategic growth, resilience, and rational market behaviors.

  Also filed under Corporate Finance, Risk Management

• Fixed Income Fundamentals (with Python)

  Alexandre Landi · Slides

  Discounting is the process of determining the present value of a future amount of money or stream of cash flows given a specific interest rate. r is the continuous compounding rate (or yield). t is the time in years until the payment is made. Discounting reflects the time value of money, capturing how the value of a future payment decreases with time.

  Also filed under Quant Finance, Corporate Finance

• Fixed Income Quantitative Research

  Jeroen Kerkhof · Report

  overview .......................................................................................................8 3. Euro area......................................................................................................................9 3.2. France........................................................................................................................10 3.3. United Kingdom........................................................................................................11 3.4.

  Also filed under Quant Finance, Risk Management

• Foreign Exchange Training Manual

  Lehman Brothers Holdings, Inc. · Book

  ..................................................................................................... ...................................................

  Also filed under Quant Finance, Corporate Finance

• Foundations of Portfolio Theory (Nobel Lecture)

  Harry M. Markowitz · Report

  Markowitz's 1990 Nobel Prize lecture presenting the foundations of portfolio theory in his own words — from the 1952 diversification principle through mean-variance optimization and the efficient frontier. Definitive primary-source treatment by the inventor of modern portfolio theory.

  Also filed under Quant Finance, Risk Management

• Fundamental Equity Analysis: A Primer

  David Nincic · Guide

  overview of qualitative and quantitative fundamental research methods, with a comprehensive survey of valuation techniques. The framework provided in the Primer should prove useful to those who wish to present stock recommendations, either verbally or in written form. We urge those with an interest in stock picking to present their investment ideas to the Wharton Fellows Fund. We hope that the Primer will be a valuable resource in this regard.

  Also filed under Corporate Finance, Quant Finance

• Fundamentals of Actuarial Mathematics

  S. David Promislow · Book

  The right of the author to be identified as the author of this work has been asserted in accordance with the Copyright, Designs and Patents Act 1988. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books.

  Also filed under Math, Quant Finance

• Hedge fund industry deep dive

  Aurum · Report

  **Bonds = Bloomberg Global Aggregate Bond Index. Risk Free Rate = period average of 3-month LIBOR-SOFR. All figures and charts use asset weighted returns unless otherwise stated. All Hedge Fund data is sourced from Aurum Hedge Fund Data Engine.

  Also filed under Corporate Finance, Quant Finance

• Hedge Fund Research Report 2021

  SigTech · Slides

  The "Hedge Fund Research Report 2021" by SigTech offers comprehensive insights into the evolving landscape of the hedge fund industry, focusing on quantitative strategies and asset allocation trends. The report is based on a survey of over 100 leading hedge fund managers, collectively overseeing assets under management (AUM) totaling approximately $231 billion across European, Asian, and North American markets. Key Findings: Increased Allocation to Quant Strategies: A significant 80% of hedge fund managers anticipate that institutional investors will boost their allocations to quantitative strategies within the next twelve months. Favorable Economic Conditions: Approximately 73% of respondents believe that the current economic and fiscal environment is conducive to the success of quantitative strategies. Growth in Quant Hedge Funds: An overwhelming 86% of managers expect an increase in the number of quantitative hedge funds over the next five years, indicating a strong trend toward systematic investment approaches. Data and Technology as Alpha Drivers: A substantial 95% of surveyed managers assert that access to high-quality data and cutting-edge technology is crucial for generating alpha, underscoring the industry's shift toward data-driven decision-making. Rise in Digital Asset Trading: About 85% of hedge fund managers anticipate an increase in trading activities involving digital assets, reflecting the growing acceptance and integration of cryptocurrencies and related instruments into investment portfolios. This report highlights a clear industry trend toward the adoption and expansion of quantitative investment strategies, driven by advancements in data accessibility and technological innovation. Hedge fund managers are optimistic about the future, recognizing the importance of leveraging these tools to enhance investment performance and meet the evolving demands of institutional investors.

  Also filed under Quant Finance, Risk Management

• How ESG Issues Become Financially Material to Corporations and Their Investors

  David Freiberg, Jean Rogers, George Serafeim · Report

  "How ESG Issues Become Financially Material to Corporations and Their Investors" by David Freiberg, Jean Rogers, and George Serafeim explores the growing significance of Environmental, Social, and Governance (ESG) factors in corporate financial performance. The book provides a comprehensive framework for understanding how ESG considerations transition from ethical concerns to financially material factors that influence investor decisions and corporate strategy. Key Highlights: Understanding ESG and Financial Materiality: Introduces ESG concepts and explains how they evolve into material financial factors that impact company performance, risk management, and long-term value creation. Framework for ESG Materiality: Discusses how ESG issues gain financial relevance based on industry context, regulatory changes, consumer preferences, and market trends. Empirical Evidence on ESG Impact: Presents research-backed insights on the correlation between strong ESG performance and financial outcomes such as profitability, cost of capital, and stock performance. Investor Perspective on ESG Integration: Explores how institutional investors and asset managers assess ESG risks and opportunities in making investment decisions. Case Studies of ESG Materiality in Action: Provides real-world examples of companies that have successfully integrated ESG factors into their business models, highlighting best practices and lessons learned. Future Trends in ESG Investing: Examines the evolving regulatory landscape, the role of data analytics in ESG measurement, and the increasing adoption of ESG reporting frameworks.

  Also filed under Corporate Finance, Risk Management

• Hull White Model for Stochastic Interest Rate Modeling

  Mehul Mehta · Slides

  • It is a type of short-rate model, which means it focuses on modeling the short-term interest rate, or the instantaneous rate of return on a risk-free investment.

  Also filed under Quant Finance, Risk Management

• Implementing Bermudan Swaption using QuantLib and Stochastic Models (Hull-White, Black- Karasinski and G2++) for Calibration in Python

  Aaron de la Rosa · Notes

  Definition and Features: • A swaption (swap + option) gives the holder the right, but not the obligation, to enter into an interest rate swap at specified terms. • In a Bermudan swaption, the holder has the right to start the swap on any of several predetermined dates within a specific period, known as "exercise dates." These dates are usually aligned with the reset dates of the swap's floating leg. • This flexibility to exercise on multiple dates differentiates Bermudan swaptions from European swaptions (exercisable only on a single date) and American swaptions (exercisable on any date up ...

  Also filed under Quant Finance, Risk Management

• Interest Rate and Credit Models

  Andrew Lesniewski · Slides

  "Interest Rate and Credit Models" is a comprehensive guide to the mathematical and financial theories behind interest rate modeling and credit risk assessment. The book delves into the stochastic processes, pricing methodologies, and risk management techniques used in modern fixed-income and credit markets. It is aimed at quantitative analysts, risk managers, financial engineers, and academics looking for a deep understanding of how interest rate and credit models function in practice. Key Topics Covered: Fundamentals of Interest Rate Models: Introduction to yield curves, discount factors, and the evolution of interest rate dynamics. Short Rate Models: Covers Vasicek, Cox-Ingersoll-Ross (CIR), and Hull-White models, explaining their applications in bond pricing and risk management. Market Models & Libor-Based Approaches: Discusses Libor Market Models (LMM), forward rate agreements, and swap pricing. Affine Term Structure Models: Explores the Heath-Jarrow-Morton (HJM) framework and its role in modeling yield curve movements. Credit Risk & Default Models: Examines structural and reduced-form models for credit spreads, default probabilities, and counterparty risk. Credit Derivatives & Securitization: Discusses credit default swaps (CDS), collateralized debt obligations (CDOs), and risk transfer mechanisms. Calibration & Numerical Methods: Covers Monte Carlo simulations, finite difference methods, and optimization techniques for model calibration. Risk Management & Practical Applications: Provides real-world insights into stress testing, risk-neutral pricing, and hedging strategies. This book serves as an advanced reference for professionals and researchers seeking a rigorous yet practical exploration of interest rate and credit risk modeling, offering a blend of mathematical depth and financial intuition.

  Also filed under Quant Finance, Risk Management

• International Financial Statement Analysis Workbook

  Thomas R. Robinson, Elaine Henry, Wendy L. Pirie & Michael A. Broihahn · Book

  Since 1963 the organization has developed and ad- ministered the renowned Chartered Financial Analyst® Program. With a rich history of leading the investment profession, CFA Institute has set the highest standards in ethics, education, and professional excellence within the global investment community and is the foremost authority on investment profession conduct and practice. Each book in the CFA Institute Investment Series is geared toward industry practition- ers along with graduate-level fi nance students and covers the most important topics in the industry. Th e authors of these cuttin...

  Also filed under Corporate Finance, Quant Finance

• Interpolation Methods For Curve Construction

  Pat Hagan & Graeme West · Report

  "Interpolation Methods for Curve Construction" is a specialized mathematical and financial guide that explores various interpolation techniques used in curve construction. The book is particularly relevant for quantitative analysts, financial engineers, and mathematicians working in areas such as yield curve modeling, interest rate derivatives, and risk management. It provides a deep understanding of interpolation methods, their properties, and their impact on numerical stability and financial applications. Key Topics Covered: Fundamentals of Interpolation: Introduction to interpolation concepts, including polynomial, piecewise, and spline interpolation. Linear and Polynomial Interpolation: Discusses basic techniques such as linear interpolation and Lagrange polynomials, with applications in finance. Spline Interpolation Methods: Covers cubic splines, B-splines, and natural splines, explaining how they ensure smooth and stable curve construction. Monotonicity and Shape-Preserving Interpolation: Examines methods that prevent oscillations and ensure realistic financial curve modeling. Hermite and Rational Interpolation: Explores advanced techniques that improve curve smoothness and numerical stability. Applications in Finance: Discusses how interpolation methods are used for yield curves, discount factors, option pricing, and bootstrapping interest rate curves. Error Analysis and Stability Considerations: Evaluates the numerical accuracy, computational efficiency, and robustness of different interpolation techniques. This book serves as an essential reference for professionals and researchers who need to construct smooth, reliable curves for financial modeling. With a balance of theory, practical implementation, and real-world financial applications, it provides valuable insights into interpolation techniques critical for modern quantitative finance.

  Also filed under Quant Finance, Math

• Introduction To Corporate Finance

  Author Unknown · Slides

  Definition of Corporate Finance 3. The Goal of Financial Management 5. In general, the business has no existence apart from its owner: its life is limited to the proprietor’s own life span.

  Also filed under Corporate Finance, Quant Finance

• Investor & Analyst Day 2024

  Enfusion · Slides

  Investor & Analyst Day 2024 PROPRIETARY ©2024 ENFUSION. 2 Statements we make in this presentation may include statements which are not historical facts and are considered forward-looking within the meaning of Section 27A of the Securities Act of 1933 (the “Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (the “Exchange Act”), including expectations regarding future financial performance. These forward-looking statements are usually identified by the use of words such as “anticipates,” “believes,” “estimates,” “expects,” “intends,” “may,” “plans,” “projects,” “seeks,” ...

  Also filed under Corporate Finance, Quant Finance

• Lecture 7: Value At Risk (VAR) Models

  Ken Abbott · Book

  The book "Lecture 7: Value At Risk (VAR) Models" by Ken Abbott provides an overview of Value at Risk (VAR) models, which are used to assess the potential loss in value of a portfolio over a defined period for a given confidence interval. It covers the theoretical foundations, methodologies, and practical applications of VAR, including historical simulation, variance-covariance, and Monte Carlo simulation approaches. The lecture also discusses the limitations and challenges of VAR models in risk management.

  Also filed under Risk Management, Quant Finance

• Low Latency Interest Rate Markets

  Nicholas Burgess · Slides

  Hospitals, Transport (HS2), Energy & Defence Projects Interest Rate Markets – Why the need for Speed? 4 Cleared Electronic Trading & Auto-Hedging Real-Time, Highly Liquid & High Precision (Bid-Offer 1/10th bps i.e. USD 10 per MM) Trading Horizon: High Frequency Trading (HFT) vs Long-Term Fund Performance

  Also filed under Risk Management

• Machine Learning in Finance

  Matthew F. Dixon, Igor Halperin, Paul Bilokon · Book

  The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for...

  Also filed under Quant Finance, Machine Learning

• Mastering Pandas: Advanced Pandas For Finance

  Hayden Van Der Post · Book

  "Mastering Pandas: Advanced Pandas For Finance" by Hayden Van Der Post delves into sophisticated techniques for using the Pandas library in financial data analysis. It covers advanced data manipulation, time series analysis, and financial modeling, providing practical examples and strategies to enhance data-driven decision-making in finance.

  Also filed under Python, Quant Finance

• Mergers and Acquisitions

  Alexander Roberts, William Wallace & Peter Moles · Report

  Covers the foundational concepts of mergers and acquisitions in corporate finance, including deal structures, valuation methods, synergy analysis, and financing mechanisms. Discusses the distinction between mergers and acquisitions, the M&A process lifecycle, due diligence, and strategic rationales for corporate combinations.

  Also filed under Corporate Finance

• MIDDLE EAST CAPITAL MARKETS CHALLENGES AND OPPORTUNITIES

  Bogdan Bilaus & Luis Garcia-Feijòo · Book

  "Middle East Capital Markets: Challenges and Opportunities" provides an in-depth analysis of the evolving financial markets in the Middle East, focusing on the economic, regulatory, and structural factors shaping investment opportunities in the region. The book examines key trends, challenges, and growth prospects in both equity and fixed-income markets, offering valuable insights for investors, policymakers, and financial professionals. Key Topics Covered: Historical Development of Capital Markets in the Middle East: Overview of the region’s financial systems, including the rise of stock exchanges, sovereign wealth funds, and key financial institutions. Regulatory & Governance Challenges: Analysis of market regulations, corporate governance practices, and compliance requirements that impact investor confidence. Equity & Debt Markets: Exploration of stock exchanges, bond markets, and alternative investment vehicles such as sukuk (Islamic bonds). Foreign Investment & Market Accessibility: Discussion on foreign direct investment (FDI), capital flow restrictions, and the role of financial liberalization in attracting global investors. Geopolitical & Economic Risks: Examination of oil price fluctuations, political instability, and macroeconomic factors affecting capital market growth. Future Opportunities & Financial Innovation: Insights into fintech adoption, ESG (Environmental, Social, and Governance) investing, and the potential for sustainable economic expansion in the region. This book serves as an essential guide for investors, financial analysts, and policymakers seeking to navigate the complexities of Middle Eastern capital markets. By addressing both risks and opportunities, it provides a comprehensive framework for understanding and capitalizing on the region’s financial landscape.

  Also filed under Corporate Finance, Quant Finance

• Modern Portfolio Theory: Some Main Results

  Heinz H. Müller · Report

  ASTIN Bulletin survey article covering the main results of modern portfolio theory, the Sharpe-Lintner CAPM, and Roll's critique. Accessible treatment of the mathematical foundations.

  Also filed under Quant Finance, Risk Management

• Multivariate GARCH (MGARCH) under Dynamic Conditional Correlation (DCC) specification in Python.

  Aaron de la Rosa · Notes

  It allows the conditional-on-past-history covariance matrix of the dependent variables to follow a flexible dynamic structure. This means that MGARCH models can capture the time-varying volatility and co-movements in multiple time series. Financial institutions typically use them to estimate the volatility of returns for stocks, bonds, and market indices. DCC (Dynamic Conditional Correlation): DCC is a specific type of MGARCH model.

  Also filed under Data Visualization, Risk Management

• Odds & Ends

  Jonathan Weisberg · Book

  A visual approach to understanding probability concepts, covering how odds relate to likelihood, Bayes' theorem, conditional probability, and common statistical distributions. Uses diagrams and intuitive examples to make abstract probability theory more accessible.

  Also filed under Risk Management

• Open Banking APIs Worldwide

  Alice Prahmann, Franziska Zangl, Oliver Dlugosch, Stefanie Milcke · Book

  No encontrado

  Also filed under Software Engineering

• Pairs Trading

  Author Unknown · Report

  Pairs Trading Pairs trading is a market neutral trading strategy that involves buying and selling two highly correlated financial instruments simultaneously. The idea is to profit from the difference in price movements between the two instruments. Pairs trading is often used in the stock market, but can also be applied to other markets such as futures and options. The strategy is based on the idea that while individual stocks may be affected by company - specific or market - wide events, the relative relationship between two highly correlated stocks will remain relatively stable over time.

  Also filed under Quant Finance, Risk Management

• Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library

  Eugene F. Fama & Kenneth R. French · Report

  "Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library" is a working paper by Eugene F. Fama and Kenneth R. French that delves into the methodologies and data adjustments involved in constructing key financial factors used in asset pricing models. Key Insights: Factor Definitions: Rm-Rf (Market Excess Return): The return on the value-weighted portfolio of all NYSE, AMEX, and NASDAQ stocks minus the one-month U.S. Treasury bill rate. SMB (Small Minus Big): The return difference between small-cap and large-cap stocks, serving as a proxy for the size effect. HML (High Minus Low): The return difference between stocks with high and low book-to-market ratios, representing the value effect. Data Corrections and Rule Changes: The paper analyzes how various data corrections and rule modifications have impacted the returns of these factors. Understanding these effects is crucial for researchers and practitioners who rely on the Fama-French Data Library for empirical analyses. Methodological Transparency: By detailing the construction processes and the influence of data adjustments, the authors aim to enhance transparency and assist users in accurately interpreting factor returns derived from the library. This paper serves as a valuable resource for those utilizing the Fama-French Data Library, providing clarity on the construction and evolution of widely used financial factors.

  Also filed under Risk Management, Corporate Finance

• Quantitative Forecasting Models and Active Diversification for International Bonds

  Antti Ilmanen & Rafey Sayood · Report

  We review the performance of increas- ingly complex yet quite straightforward and transparent trading strategies. We first use single indicators to predict specific trades. We then pool these indicators into a multipredictor fore- casting model for each trade, and finally diver- sify across several trades. The success of these quantitative trading strategies rests on the twin pillars of the lim- ited forecastability of returns and diversifica- tion across strategies.

  Also filed under Quant Finance, Risk Management

• Reinforcement Learning for Corporate Bond Trading: A Sell Side Perspective

  Samuel Atkins, Ali Fathi & Sammy Assef · Report

  Abstract A corporate bond trader in a typical sell side institution such as a bank provides liquidity to the market participants by buying/selling securities and maintaining an inventory. Upon receiving a request for a buy/sell price quote (RFQ), the trader provides a quote by adding a spread over a prevalent market price. For illiquid bonds, the market price is harder to observe, and traders often resort to available benchmark bond prices (such as MarketAxess, Bloomberg, etc.). In [BG￿￿], the concept of Fair Transfer Price for an illiquid corporate bond was introduced which is derived from...

  Also filed under Quant Finance, Risk Management

• Risk-Neutral Pricing: An Intuitive Approach

  Pablo Marchesi · Notes

  Abstract This paper aims to provide a straightforward and intuitive introduction to Risk- Neutral Pricing for derivative securities. We begin by reviewing foundational concepts from Itˆo calculus, including Itˆo processes and martingales, along with the key theorems necessary for deriving the risk-neutral pricing formula. We then proceed to derive the formula, prioritizing intuition over mathematical rigor. We can define arbitrage as a trading strategy that begins with no money, has zero probability of losing money, and has a positive probability of mak- ing money [2].

  Also filed under Risk Management, Quant Finance

• SEC Reporting Obligations Under Section 13 and Section 16 of the Exchange Act

  Arthur L. Zwickel & Alicia M. Harrison. · Report

  "SEC Reporting Obligations Under Section 13 and Section 16 of the Exchange Act" by Arthur L. Zwickel and Alicia M. Harrison provides a comprehensive overview of the reporting requirements mandated by the Securities Exchange Act of 1934. This legal update is essential for individuals and entities involved in owning, managing, or trading publicly traded or exchange-listed equity securities. Key Highlights: Section 13 Reporting Requirements: Beneficial Ownership Reporting: Entities or individuals that directly or indirectly own more than 5% of a class of voting equity securities registered under Section 12 of the Exchange Act are required to file reports on Schedule 13D or Schedule 13G. Institutional Investment Managers: Managers exercising investment discretion over accounts holding equity securities with an aggregate fair market value of $100 million or more must file quarterly reports on Form 13F. Large Trader Reporting: Persons or entities that trade significant amounts of NMS securities are required to file Form 13H to provide identifying information to the SEC. Section 16 Reporting Requirements: Insider Reporting: Directors, officers, and beneficial owners of more than 10% of any class of equity security registered under Section 12 must file reports disclosing their ownership and transactions. Forms Required: Form 3: Initial statement of beneficial ownership, filed within 10 days of becoming an insider. Form 4: Reports changes in ownership, filed within two business days following the transaction. Form 5: Annual statement of beneficial ownership, filed to report transactions not previously reported. This update serves as a vital resource for understanding the complexities of SEC reporting obligations, ensuring compliance, and avoiding potential penalties associated with non-compliance.

  Also filed under Corporate Finance, Risk Management

• Security Analysis

  Benjamin Graham and David Dodd · Book

  Seminal book by Benjamin Graham and David Dodd (1934). Access: public-access. Source: https://archive.org/details/bwb_W9-CMT-294

• Special Note Long/Short US Portfolio

  Damien Cleusix · Slides

  No encontrado

  Also filed under Risk Management

• State of finance

  Avalara · Slides

  labor market remains strong, high inflation and the collapse of domestic and European banks are contributing to apprehension. As of September 2023, the Federal Reserve Bank of New York recession probability indicator suggested there is a 60.8% chance of a U.S. recession within the next year. inflation hit a 41-year high of 11.1% in 2022 and has been slow to fall, and some local economists predict a U.K.

  Also filed under Corporate Finance, Quant Finance

• Step-by-Step Calibration of the Option Pricing & Rates Models

  Amit Kumar Jha · Report

  Introduction In this short pdf, I am breaking down the calibration of option pricing models and interest rate models step by step, focusing on clear and practical methods for understanding and implementing these processes. We’ll cover key models such as the Black-Scholes model, LV model, Vasicek model, CIR and HW Model. Data Collection • Market Prices of Options (Cmarket): These are the observed prices of options traded in the market. We collect these because they represent the ”true” value of the options under current market conditions.

  Also filed under Quant Finance, Risk Management

• The 2023 State of Corporate ESG

  Thomson Reuters Institute · Report

  The book "The 2023 State of Corporate ESG" by Thomson Reuters Institute provides an analysis of the current trends, challenges, and opportunities in corporate Environmental, Social, and Governance (ESG) practices. It examines how companies are integrating ESG factors into their strategies, the impact of regulatory changes, and the role of stakeholders in driving ESG initiatives. The book also highlights case studies and best practices from leading organizations to offer insights into effective ESG implementation.

  Also filed under Corporate Finance, Risk Management

• The Capital Asset Pricing Model: Some Empirical Tests

  Fischer Black, Michael C. Jensen, and Myron Scholes · Report

  The classic 1972 empirical test of the CAPM that first documented the low-volatility anomaly — a persistent premium to low-beta stocks that standard CAPM cannot explain. Foundational reading for anyone working with factor models or systematic risk.

  Also filed under Quant Finance, Risk Management

• The Capital Asset Pricing Model: Theory and Evidence

  Eugene F. Fama and Kenneth R. French · Report

  A seminal survey paper reviewing the CAPM from its theoretical foundations through the empirical record. Fama and French document the failures of the Sharpe-Lintner model in explaining cross-sectional returns and motivate the three-factor extension. Essential reading for anyone using beta, alpha, or factor-based attribution.

  Also filed under Quant Finance, Risk Management

• The CEO Macro Briefing Book

  Paul Hsiao & Jason Draho · Slides

  History shows that elections serve as a “risk clearing” event for equities, with performance driven more by macro and financial conditions than by election outcomes. Markets & Deal Activity • Good macro has lifted equities, but that strength and election uncertainty is fueling rate volatility. Large rotations below the surface (e.g., cyclicals vs. defensives) are likely continue as the macro narrative evolves.

  Also filed under Corporate Finance, Quant Finance

• The Evolution of Pairs Trading

  Author Unknown · Slides

  A study of how pairs trading strategies have evolved since their origins at Morgan Stanley in the 1980s. It traces the development from simple correlation-based approaches to modern cointegration and algorithmic methods used in statistical arbitrage.

  Also filed under Quant Finance, Risk Management

• The Intelligent Investor

  Benjamin Graham · Book

  Seminal book by Benjamin Graham (1949). Access: public-access. Source: https://archive.org/details/is-the-intelligent-investor-really-the-best-investing-book-ever-written

• The Peter Lynch Playbook

  @mjbaldbard · Report

  Going through these notes without doing so won’t be as helpful since you’ll lack the basic context in which the underlying thoughts were penned. • In addition to the original thoughts, these notes contain certain takeaways, inputs & charts. Please reach out if you’ve further insights on any of those. • Bear in mind that the source content was published in the late 80’s and early 90’s.

  Also filed under Quant Finance, Corporate Finance

• The Pricing of Options and Corporate Liabilities

  Fischer Black and Myron Scholes · Report

  The original 1973 Journal of Political Economy paper that introduced the Black-Scholes option pricing formula. One of the most consequential papers in modern finance, laying the foundation for derivatives markets and quantitative trading.

  Also filed under Quant Finance

• The Theory of the Leisure Class

  Thorstein Veblen · Book

  Seminal book by Thorstein Veblen (1899). Access: public-domain. Source: https://www.gutenberg.org/ebooks/833

• Time-weighted volatility

  Peter Jackel · Report

  An inadvertent consequence to this convention is that each day is assigned the same amount of future daily variance of the underlying financial asset’s future spot realisation. This, alas, does not reflect the real world. Whilst this approach is reasonably well known among praction- ers, it rarely appears in the literature, one exception be- ing [SV00]. For the respective trading desks, the BUS252 volatility day count convention is pragmatic and easy to use, though it has its drawbacks.

  Also filed under Risk Management, Quant Finance

• Understanding and Managing Complexity Risk

  Eric Bonabeau · Report

  about the aircraft’s speed and acceleration. This confused the flight computers, which sent the Boeing 777 on a 3,000-foot roller-coaster ride. With more than five million lines of code, aircraft software programs have become too large and complex to be tested thoroughly and are fielded without any guarantee that they will always work. Comment on this article or contact the author through smrfeedback@mit.edu.

  Also filed under Risk Management, Quant Finance

• Understanding Treasury Futures

  Nicholas Johnson, John Kerpel & Jonathan Kronstein · Report

  2 Accrued Interest and Settlement Practices . 3 The “Run” ����������������������������������������������������������������������������������������������������������������������������������������������������������������������� 3 The Roll and Liquidity . 4 Treasury Cash & Futures Relationships Treasury Futures Delivery Practices . 5 Conversion Factor Invoicing System.

  Also filed under Quant Finance, Corporate Finance

• Validation of Credit Risk Models

  Andrija Djurovic · Slides

  Validation of Credit Risk Models Does the P-Value Provide Sufficient Insight for Model Validation? The p-value resulting from statistical hypothesis testing is often the sole criterion used in reaching a final conclusion. Relying solely on the p-value raises several questions, such as: Should practitioners adopt a unified approach based on the p-value for all portfolio types? Should practitioners adopt a unified approach based on the p-value for all test types?

  Also filed under Risk Management, Quant Finance

• Valuation Handbook-International Guide To Cost Of Capital

  James P. Harrington, Carla S. Nunes, Anas Aboulamer, Roger J. Grabowski · Book

  "Valuation Handbook—International Guide to Cost of Capital," authored by James P. Harrington, Carla S. Nunes, Anas Aboulamer, and Roger J. Grabowski, is a comprehensive resource for estimating the cost of capital across various international markets. This guide is essential for professionals involved in business valuation, investment analysis, and financial decision-making, offering methodologies and data to assess the cost of equity capital globally. Key Highlights: Global Cost of Capital Estimation: The handbook provides methodologies to estimate country-level cost of equity capital for over 180 countries, incorporating factors like country risk premia, equity risk premia, and relative volatility. Data-Driven Insights: It offers access to international data that is often costly and difficult to obtain, assembling it into easy-to-use inputs for cost of capital calculations. Practical Application: The guide translates complex concepts and methodologies into practical applications, supported by exemplifying cases that demonstrate their real-world usage. Updated Content: The 2023 Summary Edition includes updated content and all methodologies previously published, ensuring that readers have access to the most current data and practices in cost of capital estimation. This handbook serves as a vital tool for professionals seeking to understand and apply cost of capital concepts in international contexts, enhancing their ability to make informed financial decisions.

  Also filed under Corporate Finance, Risk Management

• Volatility & Greeks: Nvidia Option

  Author Unknown · Notes

  Notes on analyzing NVIDIA stock options using the volatility Greeks: Delta, Gamma, Theta, Vega, and Rho. Explains how implied volatility and these sensitivity measures help traders assess risk and price movement expectations for options positions.

  Also filed under Quant Finance, Risk Management

• What is fintech?

  McKinsey & Company · Report

  The book "What is Fintech?" by McKinsey & Company explores the rapidly evolving financial technology sector, examining its impact on traditional banking and financial services. It delves into key innovations such as digital payments, blockchain, and AI-driven financial solutions, highlighting how these technologies are reshaping consumer experiences and business models. The book also discusses regulatory challenges and the future landscape of fintech, providing insights into how companies can adapt and thrive in this dynamic environment.

  Also filed under Corporate Finance, Quant Finance

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