Most recent articles by Christoph Schon, CFA, CIPM
GBP risk reaches lowest level since Brexit vote; Portfolio risk declines as FX/equity correlation weakens
Week of May 12
This week we take a look at how the predicted exchange rate volatility for GBP/USD declined to levels last seen before the Brexit vote in June 2016. Short-horizon risk for the pound now stands at 9.76% as of Friday, May 12, compared with 10.44% on the day UK voters decided to the leave ...
Bund yields climb as French election worries subside and Portfolio risk rises sharply as risk factor correlations increase
A continued rise of yields on German government bonds as centrist candidate Emmanuel Macron lead the way to the second round of the French presidential election.
Bunds under-performance, rising pound risk, and new low for portfolio risk
Underperformance of German Bunds versus Treasuries and Gilts ahead of the French vote as well as the rise in risk for the pound following Prime Minister Theresa May’s announcement of a snap election.
Multi-Asset Class Risk Monitor Insights
Geopolitical worries pushed Treasury yields lower and Currency risk declined as the dollar weakened.
Currency Domination: The US Election, Currency Effects, and Portfolio Risk
Both the US election and the Brexit vote surprised the markets. It resulted in significant volatility, specifically for currency exchange rates.