It has been one year since BISAM announced its acquisition of FinAnalytica, expanding our best-in-class buy-side offerings to include multi-asset market risk, portfolio construction and investment decision analytics. In reflecting on related discussions with the market over the last 365 days, I was struck by the volume of new and innovative ideas that our thought leaders have delivered to the market - from headline-driven fat-tailed risk analyses to research on the correlations of market turbulence, volatility and liquidity risk.
Following are some of my favorite pieces from the BISAM risk team. I have enjoyed revisiting these contributions, and I hope you find them to be valuable idea generators and conversation starters within your organizations.
1. BISAM Introduces FinAnalytica
In this video, BISAM’s CEO William Haney sat down with Boryana Racheva-Iotova, co-founder of FinAnalytica and now BISAM’s Global Head of Risk. The two discussed the industry drivers behind the market’s move toward more unified portfolio analytics; and also the patented approach to market risk that sets Cognity apart from other providers.
2. The Valeant Case Study: Could a Fat-Tailed Market Risk System Have Warned of Valeant’s Fall?
Following news of Valeant Pharmaceutical’s worst ever single day loss on March 15, 2016, BISAM’s risk team was challenged by a fund manager, who asked: Could BISAM’s Cognity market risk solution have predicted the VaR forecast for Valeant in the weeks and months leading up to and just after news of its sell-off hit the headlines? See for yourself here.
3. Geo-Political Market Risk Analysis
In the aftermath of the Brexit “Leave” decision, and the days/weeks leading up to and just after the U.S. Presidential election, our Sofia-based Quant team - including Ivan Mitov, Bono Nonchev and Velislav Bodurov – developed several interesting analyses, ranging from the impact of Brexit on world currencies to the drivers of the small-cap market rally in the U.S. stock market. Following are links to their related headline-driven observations and research:
- Brexit Study - Augmenting Subjective Stress to Design a Risk Model with Brexit "Mutation Genes" testing
- Pre- and Post-Brexit Observations of Fat-Tail vs. Normal VaR Spreads Across the MSCI World Index™
- The Most Significant Change in FX Rate Correlations Since the Beginning of the Century - Pre/Post-Brexit Observations
- Fat-tailed Sigma-tized view of the Post-Brexit Markets
- Post-Election Analysis: Is the Recent Market Rally Indeed Small-Caps Driven?
- BISAM Daily Risk Statistics – Post Inauguration Market Observations
- Risk Analysis of the U.S. Dollar Index (DXY)
4. Risk Modeling and Volatility Estimation of the US Fundamental Factor Model Style and Market Factors
The equity style factors usually obtained via stock return cross-sectional regression have long been an industry standard and have proven their value (together with the industry factors) for decomposing equity returns and risk exposures. Along with their explanatory power for modeling the stock returns, the risk modeling and forecasting of those style factors is equally important. In this research piece, our Quant team goes deeper into the style factor returns properties and their modeling from a risk estimation perspective.
5. A Picture Says a Thousand Words
And finally, I’d be remiss not to comment on the great graphics that our partners at Form Advertising created to help visualize our content and lend clarity to our readers over the last year.
This is one of my favorite images, showcased on the BISAM Daily Risk Statistics page. It is a creatively fun nod to the Cognity® real world risk modeling framework, which empowers risk managers with the ability to form realistic expectations for the otherwise unforeseeable future.
To see our full collection of Risk-themed blog posts, please visit: http://blog.bisam.com/topic/risk-management