Tue, Oct 13, 2015
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

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. Investing - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From Marketrealist.com: In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  2. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Bloomberg.com: Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  3. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From Mondaq.com: The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  4. Hedge fund Barnegat survives September’s market selloff[more]

    Komfie Manalo, Opalesque Asia: Bob Treue’s $679 million Barnegat Fund proved resilient after another month of market letdown as the hedge fund gained 2.2% last month, bringing its year-to-date gains to 2.8%. Treue said in his monthly report to i

  5. …And Finally - Japanese men want upgrade on their virtual girlfriends[more]

    From Newsoftheweird.com: Five years after News of the Weird mentioned it, Japan's Love Plus virtual-girlfriend app is more popular than ever, serving a growing segment of the country's lonely males -- those beyond peak marital years and resigned to artificial "relationships." Love Plus models (Rinko