CHERIEF Amina
RC - Working Paper
Working Paper 1.07.2022 Credit Factor Investing with Machine Learning techniques

The most common models to assess asset returns are a linear combination of risk factors.

More > 10 minutes
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Thematic Paper 2.06.2022 Shifts & Narratives #18 - The power of narratives for investors

Narratives have been around for a long time but their impact on financial markets has not been fully exploited. Our analysis suggests that narratives complement traditional macro variables when it comes to explaining financial market behaviour.

More > 10 minutes
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Working Paper 7.04.2022 Monitoring Narratives: an Application to the Equity Market

In this research, we show that variables from the Global Database of Events, Language and Tone (GDELT) convey significant informational content that can improve on a purely macroeconomic approach when modeling the US equity market.

More > 10 minutes
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Working Paper 25.02.2022 The Recent Performance of ESG Investing, the Covid-19 Catalyst and the Biden Effect

The purpose of this paper is to appraise recent ESG trends in global equity markets. It contributes to a broader research project started at Amundi in 2014 on the relevance of ESG.

More > 10 minutes
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Working Paper 9.12.2021 Liquidity Stress Testing in Asset Management - Part 4. A Step-by-step Practical Guide

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

More > 10 minutes
Working Paper
Working Paper 30.06.2021 Revisiting Quality Investing

In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define it. In order to capture the multi-faceted reality of the factor depicted in academia, we address the quality factor through a multidimensional process by defining four self-reliant pillars: profitability, earnings quality, safety and investment. To better fit institutional investor’s’ needs, we analyze the resulting factor by focusing on the last eighteen years and on a global developed markets universe of liquid stocks (largeand mid-caps).

More > 10 minutes
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Working Paper 18.05.2021 Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

More > 10 minutes

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