UK PRIIPs: Less is more?
On 25 March 2022, the FCA published the revised UK PRIIPs RTS. It marks the start of the UK PRIIPs Regime! Read all about it in our whitepaper.
Supply Chain: ESG Scores unraveled
Adding supply chain data had a surprising effect on the reported ESG score of investment funds! Find out more in this white paper!
PRIIPS 2.0: The Countdown has begun
On 7 September 2021, the European Commission finally adopted a new version of the PRIIPs Regulatory Technical Standards (RTS). In this white paper we provide a general overview of the main changes.
UK PRIIPs: The FCA’s Sledge Hammer
The FCA released a consultation paper to seek views on proposed amendments to the UK PRIIPs disclosure regime. Read more in our white paper!
Boosting portfolio insights with graphs
The power of an entire supply chain mapping between different companies has a wide variety of business applications in asset management and finance. Read more in our whitepaper!
PRIIPs 2.0: Bye Bye Formulas?
Download our white paper on the revised PRIIP calculation methodology for performance scenarios. The ESAs propose the new methodology to apply as from 1 January 2023.
SFDR: The ESAS have listened, but their hands are tied
In this white-paper we discuss the main differences between the April 2020 Consultation Paper and the current RTS which will be presented to the Commission in the coming months. We also highlight several outstanding “pains” of the SFDR and its RTS.
PRIIPs: The 2021 Steeplechase
Some pressure never hurts and on Feb 5th, 2021, the new proposal drafted by the European Supervisory Authorities (ESAs) is available on ESMAs website. In this revised RTS, some items have been replaced, whereas others were amended and some new elements have been added. In this executive summary, we present the different changes that are to be implemented.
PRIIPs: Waiting for Godot
In July 2020, the ESAs informed the Commission on a new draft of the Regulatory Technical Standards (RTS) for PRIIPs. But the same EU regulators failed to endorse these technical standards. In this whitepaper we cover in detail what was on the drawing table (and what will probably come our way in the near future.
ESG: Climate Quants
A new type of quantitative analyst will be needed by financial institutions . We are going to observe the rise of “Climate Quants”.
ESG: This Time it’s Different
Following the Green Deal of the newly appointed European Commission, an avalanche of new rules and directives is coming your way.
PRIIPS: CHANGES AHEAD
The three European supervisory authorities (ESMA,EIOPA and EBA), published on October 16, 2019 a new consultation paper on PRIIPs…
Quant vs. Machine
In our whitepaper, we show how one can deploy machine learning techniques in the context of traditional quant problems…
When a CoCo cracks
the Single Resolution Board transferred all shares and capital instruments of Banco Popular to Banco Santander. We took the opportunity perform a sanity check of our risk models in this post-mortem analysis…
JACCARD DISTANCE AND PORTFOLIO DIVERSIFICATION
This contribution illustrates how to quantify the diversification of a bond portfolio using the Jaccard Index as a distance metric…
ANATOMY OF CORNISH-FISHER
This white paper drills down deeper into the Anatomy of Cornish-Fisher and points out possible pitfalls.
VAR EQUIVALENT VOLATILITY
The determination of the market risk for PRIIPs relies on the concept of Variance Equivalent Volatility. In this paper we look into the calculations…
Connecting CoCos
In this contribution we study the correlation between CoCo bonds using notions from graph theory…
