How Fund Managers Should Approach ESMA’s New LMT Guidelines
Estimated read time: 8 minutes What you need to know The European Securities and Markets Authority (ESMA) has introduced new guidelines that require UCITS and AIFMs to take a much more practical and fund-specific approach to choosing Liquidity Management Tools (LMTs). The aim is simple: improve how funds manage liquidity risks and reduce the chances of […]
Macro-economic model selection for Point-in-Time forecasting under IFRS-9
Read Article A brief summary An introduction to IFRS-9 In today’s rapidly evolving financial landscape, effective risk management is more crucial than ever. With the implementation of the International Financial Reporting Standard 9 (IFRS 9), financial firms such as banks are required to move from a static, historical view of default risk—Through-the-Cycle (TtC) Probability of Default […]
ESMA vs LASSO BIC Forecasting
Key Takeaways for Investment Funds Investment funds must publish scenario analyses in their Key Information Documents (KIDs) under ESMA regulations. ESMA’s historical simulation model is the current standard, but is it the best forecasting method? Our analysis compared ESMA’s historical return approach to LASSO BIC forecasting, a more data-driven methodology. Here’s what fund managers need […]
The unlevered and levered CAPM betas: Real-life example of Adyen 2022
Read Article A brief summary In the world of modern asset management, accurate valuation models are essential for managing risk and making informed investment decisions. This article offers a practical deep dive into the calculation and application of unlevered and levered CAPM betas, using Adyen’s 2022 financials as a real-world case study. By analyzing how […]
Delta Hedging: Managing Market Risk with Derivatives
Read Article In today’s volatile markets, investment funds and fund managers face increasing exposure to market risk, making robust hedging strategies a vital part of effective risk management. This article explores Delta Hedging—a dynamic technique used to neutralize the price sensitivity of option positions. Through a clear breakdown and practical example using the Black-Scholes model, […]
From Ideal to Reality: Understanding Decision-making Theories in Finance
Read article Understanding Decision-Making in Finance: From Theory to Practical Risk Solutions In the realm of financial risk management, understanding how decisions are made under uncertainty is vital. Two cornerstone theories—Expected Utility Theory (EUT) and Prospect Theory (PT)—offer contrasting perspectives on investor behavior. At Amsshare, we harness these insights to enhance custom risk solutions for clients navigating […]
Understanding Order Driven Markets
Financial markets rely on efficient transaction processing to ensure that buy and sell orders are executed in a timely and transparent manner. In practice, however, real-world markets are characterised by various frictions and inefficiencies that influence how trades are executed and how prices are formed. At Amsshare, we develop and implement financial models that depend […]
How do you price a derivative?
Derivatives play a fundamental role in modern financial markets, offering investors tools to manage risk, enhance returns and structure complex investment strategies. Among these instruments, options are particularly important due to their flexibility and wide range of applications. At Amsshare, we frequently work with financial models that incorporate derivatives and option pricing techniques. Given their […]
Comparing ESMA return predictions to time-series modelling
European fund managers follow ESMA guidelines to develop Key Information Documents (KIDs) for their investors. A central part of this is the performance scenario, which gives a view on how a fund might develop over time. Since every fund manager is required to use the same methodology, it is the industry standard. At Amsshare, we […]
