Download PDF Introduction Tail-risk hedging strategies were once again on investors mouths, following the March 2020 drawdowns. April 2020 headlines were dominated by tail-risk hedge funds performance numbers and tenfold returns were not uncommon. By mainly incorporating complex option-based and CDS strategies, the funds look to minimize portfolio drawdowns in Read more…
Download PDF Introduction On July 17th 2020, in the midst of severe market volatility, Bill Ackman, the famed activist investor, raised the largest SPAC in history. With an IPO of $4bn, Pershing Square Tontine Holdings is just one of the many large SPAC fundraisings that have been conducted this year. Read more…
Download PDF United States Last week the S&P 500 went down by 0.63% and closed at 3,298.46, whilst Dow Jones registered a weekly loss of 1.75%, finishing at 27,173.96. These figures represent the fourth straight weekly fall for both indexes, the longest losing streak in over a year. Gloomy Read more…
Download PDF Introduction After stalling in winter and spring 2020 due to the coronavirus, M&A activity picked up over the summer, fuelled by a bullish stock market. The situation remains dire however: according to MergerMarket data, companies have struck €620bn worth of M&A deals in the three months Read more…
Download PDF NVIDIA Corporation (NVDA : NASDAQ) – market cap 24/9/2020: $305.1bn ARM Holdings – privately held by Softbank Introduction On the 13th of September, Softbank agreed to sell its UK subsidiary Arm Holdings to Nvidia in a $40bn deal. The cash-and-stock transaction will be the largest in the Read more…
Download PDF Introduction With the rise of High Frequency Trading (HFT), the market structure has evolved into a complex organism. The impact of HFT on markets in terms of altering dynamics, increasing volatility and in general, making markets fickler is indisputable. Whether this is for the better or worse for Read more…
Download as PDF SOFR On November 17, 2014, the Federal Reserve Bank established its own research group, the Alternative Reference Rates Committee, a commission composed by the major international banks, central counterparties and asset managers, with the support of the U.S. Department of Treasury, the U.S. Commodity Futures Trading Commission Read more…
Download as PDF ICE LIBOR Nowadays, LIBOR is administered by ICE Benchmark Administration, which publishes the rate for seven tenors (overnight, 1-week, 1-month, 2-month, 3-month, 6-month and 1-year) in five currencies (Euro, U.S. Dollar, British Pound Sterling, Swiss Franc and Japanese Yen). Currently, twenty panel banks submit their estimates between Read more…
Download as PDF Introduction The BIS triennial survey held every 3 years indicated most recently in 2019 that the USD was on 88% of all transaction. This makes it the world most used currency and the main reserve currency of centralbanks and transaction. However, another currency has recently made great Read more…
Donwload as PDF Introduction Challenged by innovation technology, artificial intelligence, fierce competition, stricter emission regulatory frameworks and the effects of Covid-19, the automotive industry is currently going through tough yet prosperous times. As the analysis will highlight, major trends and challenges are not only endangering the system, but also stimulating Read more…
Download as PDF Introduction The expected excess market return, or equity risk premium, is an unobservable element crucial in many financial applications ranging from corporate finance to asset pricing. Over the years, many researchers have studied the expected market return by tackling the estimation from different perspectives leading Welch, Goyal Read more…
Download as PDF The First Reaction One of the first institutional proposals for a reform of LIBOR came from the Weathley Review of LIBOR. Commissioned in late June 2012 by the UK Chancellor of the Exchequer, it has been driven by Martin Weathley, former managing director of the Financial Services Read more…
Download as PDF Introduction Since the 2008 Crisis, several events have undermined the global trust in the major financial benchmarks. Above all, the London Interbank Offered Rate (LIBOR) had its reputation impaired, and its role weakened. The spike in its value after the collapse and bail-out of leading banks posed Read more…
Download as PDF Introduction Restructuring is the process of advising distressed companies (those in the midst of bankruptcy, or rapidly approaching it) in order to help them change their capital structure to get out of or avoid dissolution. This can be achieved by modifying their debt, operations or structure. Outcomes Read more…
Download as PDF The purpose of this special report is to introduce the emerging class of rough volatility models. Rough volatility is a relatively new concept originating from the empirical observation that log-volatility essentially behaves as a fractional Brownian motion at any reasonable timescale. While rough volatility is found to Read more…