Download PDF Introduction On Friday October 13th, Cboe (Chicago Boards of Exchanges) officially launched four new volatility credit indices. In the current high interest rate environment, investors are becoming increasingly wary of the aggregated impact of high rates on highly levered balance sheet, thus increasing the relevance of the new Read more…
Download PDF Introduction During the last months, and especially from September, long-duration bonds experienced a dramatic sell-off, which pushed yields to historically elevated levels: U.S. long-term interest rates reached the highest level since 2007, while European bonds have not been so attractive since the Euro sovereign debt crisis in 2012. Read more…
Download PDF USA This week in the US, we observed a market recovery following the previous week’s declines, driven largely by the robust Non-Farm Payrolls data. However, by the week’s conclusion, this optimism had waned somewhat, with the S&P managing only a modest 0.4% increase. Leading the way was the Read more…
Download PDF US The week in the US markets was marked by choppy trading, with most indices being down during the week but recuperating their losses during the Friday rally. The S&P ended its longest weekly losing streak of the year by closing at +0.48%, the Nasdaq and the Russell Read more…
Download PDF Introduction The idea behind capital structure arbitrage is that the market pricing of equity and debt can diverge away from equilibrium, which might be because different types of investors are active in each market, and they possibly have different opinions about the prospects of a company. Therefore, capital Read more…
Download PDF An Introduction to the Dairy Industry The dairy industry’s global value in 2022 was around $893 billion and is projected to grow $1243 billion by 2028 having witnessed strong growth in the past years with a strong likelihood for that momentum to continue. It is currently facing some Read more…
Download PDF Introduction Now-casting methods are a class of forecasting models originally used in meteorology, and that later found useful applications in economics and finance. The first paper that generalizes the use of now-casting methods in economics is Giannone, Reichlin, and Small (2008). The idea of now-casting is that high-frequency Read more…
Download PDF Introduction Economic indicators are statistical data points and metrics that provide insights into the overall health and performance of an economy. These indicators help economists, policymakers, businesses, and investors assess and understand various aspects of economic activity. Economists and analysts use these indicators to monitor economic trends, assess Read more…
Download PDF US The week in US markets was marked by losses in all major indices apart from the Nasdaq and Russell 2000, up 0.06% and 0.48% respectively. The S&P closed the week down 0.74%, the Dow Jones was down 1.34%, the Russell 3000 Value and Growth were down 0.89% Read more…
Download PDF US US equities mainly lost this past week, with their most followed index closing this week almost 3% down (S&P500). Russell 2000 led the way down with a 3.82% decline week on week, closely followed by the tech heavy tracker (Nasdaq composite) which closed 3.62% down compared to Read more…
Download PDF Introduction 50 years ago, the financial industry changed forever with the introduction of the Black-Scholes model for options pricing. However, the story started much earlier with less sophisticated approaches and has evolved significantly over the last century, encompassing notable frameworks such as the binomial tree in discrete time, Read more…
Download PDF One of the biggest secular trends in central banking policy since its inception has been increased transparency through more regular and varied forms of communication. The hope is that by being transparent, market participants can price in the policy path more gradually, lowering the chances of wild bursts Read more…
Download PDF Introduction For the last two years, the large majority of central banks have been hiking rates and conducting quantitative tightening programs to fight against the inflationary pressures witnessed in almost every country after the Covid reopening, supply chain shocks, Russia-Ukraine war, labor shortages, and other related factors. Despite Read more…
Download PDF Introduction The purpose of this article is to investigate whether gold, and in particular its spot returns against other currencies, display some correlation with other macroeconomic drivers, particularly with monetary policy decisions by Central banks. Gold: Anti-Cyclical Asset or simple Commodity? In the realm of financial markets and Read more…
Download PDF USA US equities traded mostly at a loss this week, with the S&P and Nasdaq closing the week at -0.16% and -0.39%, respectively. The Russell 2000 also closed below the weekly open at -0.24%, while the Dow Jones closed at +0.12%. Tesla (NASDAQ:TSLA) was the big mover among Read more…