Must read articles

Risk premium
RC - Working Paper
Working Paper 10.10.2022 Capital Commitment

Over ten trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand; most of these funds are Private Equity (PE).

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RC - Working Paper
Working Paper 4.10.2022 Fast Filtering with Large Option Panels: Implications for Asset Pricing

The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when using large option panels. We propose a particle MCMC framework with a novel filtering approach and illustrate our method by estimating workhorse index option pricing models.

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Working Paper 11.02.2022 Equity Convexity and Unconventional Monetary Policy

In this paper, we intend to gain an understanding of the drivers of stock convexity, also known as gamma.

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Working Paper 8.12.2020 Facts and Fantasies about the Green Bond Premium
118

The green bond market has increased exponentially since the first issuance in 2007.

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Working Paper 24.06.2019 Factor Investing in Currency Markets: Does it Make Sense?
44

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

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Working Paper 17.06.2019 Variance Premium, Downside Risk, and Expected Stock Returns
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We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.

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Discussion Paper 2.08.2018 Where will the next financial crisis come from? Are we ready to confront it?

The world is not yet completely out of the 2007-2008 financial crisis, but the risk of a new crisis already arises.

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Discussion Paper 4.01.2018 Keep Up The Momentum
13

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always well understood.

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Pension Funds letter
Letter 1.07.2017 Amundi Pension Funds Letter n°2
21

Investors on both sides of the Atlantic, having been preoccupied for several months, now have clarity on several fronts.

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