This report reviews recent as well as planned changes to accounting and solvency regulations affecting insurers and pension funds and how they may impact long-term investing by these institutions. The review of existing evidence focuses mainly on the impact of risk-based solvency requirements,...

In contrast to many active equity investment managers, corporate bond investors often omit sector rotation as a decision layer in their investment process. In this paper, we address the merits of sophisticated sector-oriented investment decisions for Euro fixed income managers by analysing the...

Sector investment has grown significantly in international stock markets an also in the Spanish one, during the last few years. Among other issues, sector portfolio managers need to estimate accurately the beta of their portfolios in order to carry out more efficient investment strategies....

Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval at a given confidence level. Given the widespread usage of VaR, it becomes increasingly important to study the effects of the portfolio optimization subject to the VaR...

According to the often-cited CapCo study (2003) about hedge fund failures, 50% of the failures were driven by Operational Risk. Not only for hedge funds, but also for other asset management companies – such as private equity companies, family offices or independent asset managers - operational...

This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information with respect to their investment decisions and whether this behavior impacts fund performance. Based on a sample of over 4,300 European mutual funds and around 1.2 million portfolio...

A number of countries' authorities put in place bank rescue packages using public funds in response to the global financial crisis. Were these public recapitalizations followed by a reduction of risk in banks' loan books? To answer this question, in this paper the balance sheets and syndicated...

We study international outsourcing in the asset management industry. We argue that subcontractor management companies use the funds they manage on behalf of third parties to subsidize their own inhouse funds. On average, inhouse funds outperform the outsourced funds by 7.5 basis points per...

We study how sovereign wealth fund (SWF) investments affect the credit risk of target companies as measured by the change in their credit default swap (CDS) spreads around the investment announcement. Our analysis is based on a sample of 391 SWF investments in 198 companies between 2003 and...

Financial institutions have witnessed numerous episodes of financial crises all over the world during the last four decades. The researchers, academicians and policy makers in the field of finance studied these episodes extensively and to mitigate the risk involved in these crises have proposed...