Corporate bonds dance to the central banks’ tune

9 October 2019Economicscorporate bonds, quantitative easingNick Dunbar

This year’s reversal in central bank sentiment has swept through the corporate bond market

BNP Paribas piles on the senior tranches

8 October 2019BanksCLOs, credit ratings, securitisationNick Dunbar

The French banking giant more than doubled its securitisation exposure in the past 12 months, filings show. Does the ballooning CLO portfolio pose a risk?

Europe’s negative yield explosion

18 July 2019EconomicsECB, quantitative easingNick Dunbar

Amounts of negative-yielding euro debt have surged to record levels in anticipation of further easing. But how effective is the ECB’s strategy?

The year that transformed Britain’s LOBO landscape

12 July 2019Municipal FinanceLOBOs, Newham council, RBSNick Dunbar

Gauging the significance of the LOBO redemption wave

The Sharpe Ratio Ratio

1 July 2019Research & presentationsinvesting, quantitative analysisNick Dunbar

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplified formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly. Download the paper here About…

Smart Beta and Dumb Optimisation

28 June 2019Asset ManagementNick Dunbar

Portfolio optimisation has transformed investing in recent decades. But according to a new paper, naive application of such modelling can lead to extreme or unstable trading strategies.

Inside China’s real estate bond boom

21 June 2019Articles, Risk CommentaryNick Dunbar

As trade tensions worsen, dollar-denominated bond issuance by Chinese real estate companies is at a record high, while credit spreads have tightened.

Leveraging the Powell put in US M&A markets

21 June 2019Articles, Risk CommentaryNick Dunbar

With a softening approach from central banks, borrowing-driven M&A is being rewarded

What happened in bank risk last year?

29 March 2019BanksNick Dunbar

Dismantling Deutsche Bank, JP Morgan’s Steinhoff fallout and the return of securitisation

Handicapping Goldman’s 1MDB liabilities

30 January 2019Banks, Risk CommentaryGoldman Sachs, operational riskNick Dunbar

The 1MDB scandal may result in a record legal settlement for Goldman Sachs. Risky Finance visualises the expected loss and explores how life-changing it might be for Goldman.