Fri, Mar 6, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

EDHEC Risk Paper finds Hedge Funds Disadvantaged by Current Capital Charge Requirements

Friday, January 27, 2012

amb
Mathieu Vaissié
By Beverly Chandler, Opalesque London:

Mathieu Vaissié, Research Associate at the EDHEC-Risk Institute and Senior Portfolio Manager at Lyxor AM has produced a paper claiming that the Solvency II regulations could be helpful for the hedge fund industry.

In 'Solvency II : A unique opportunity for hedge fund strategies’, Vaissié finds that there is growing evidence that it is ever more difficult for institutional investors to manage their asset/liability balance efficiently, and particularly tricky for insurance companies who face changes in the regulatory framework and in accounting rules.

Vaissié finds that for many institutions, equities exhibit too high a level of risk and the performance potential of bonds is limited over the long run and bonds are no longer necessarily as safe an investment as they had once been considered. "Against this backdrop, insurers - especially those with long-term liabilities - have no choice but to fully rethink their overall investment policies" says Vaissié.

The objective of the Solvency II directive was to better match the risks taken on by insurance firms with their liabilities, thereby allowing them to better evaluate and control their risks.

Vaissié argues in his paper that a Solvency capital requirement of 49% does not accura......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. SkyBridge opens office in Palm Beach County[more]

    Where better for a southern location than South Florida? SkyBridge Capital, which is headquartered in New York, has opened an office in Palm Beach Gardens. Palm Beach Gardens is a "Signature City" in northern Palm Beach County, with a population of around 49,000.

  2. Outlook - Philippe Jordan predicts 'alternative beta' to displace hedge funds, Stan Druckenmiller says Europe, Japan stocks will outpace U.S.[more]

    Philippe Jordan predicts 'alternative beta' to displace hedge funds From Investordaily.com.au: The disappointing performance of hedge funds in recent years is a result of "too much money chasing too little alpha", argues Capital Fund Management. Speaking to InvestorDaily, CFM partner Phi

  3. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  4. Outlook - 5 reasons why 2015 is looking like a breakout year for alternative investments, Hedge fund manager Dan Loeb predicts disappointment for funds seeking energy distress[more]

    5 reasons why 2015 is looking like a breakout year for alternative investments From Forbes.com: …After a strong 2014, the public markets have been off to a choppy start in 2015. This year, savvy investors may be looking for alpha elsewhere. For many institutions and high-net-worth indivi

  5. Event-driven strategies lead hedge fund gains in February while CTA rally shows signs of fatigue[more]

    Komfie Manalo, Opalesque Asia: Hedge funds ended February on a good note (+0.8%), confirming the positive momentum witnessed since the start of the year, reported Lyxor Asset Management in its Weekly Briefing. As of the end of February, the Lyxor He