This report focusses on three particular areas of risk, effectively covering high-level risk drivers, low-level risk interactions and finally cross-sectional risk opportunities.1) In prior work, we showed that a simple 3-factor global model explained a high percentage of local equity index...

Exotic options present fund managers with flexibility in constructing a hedge consistent with desired risk and return properties and forward-looking views. However, gaining an understanding of exotic instruments is difficult, particularly since the traditional method of option analysis via...