White papers

Onze Thought-Leadership groep publiceert jaarlijks white papers met onze meningen over ontwikkelingen die bijdragen aan het oplossen van beleggingsvraagstukken. Mail voor meer informatie met AM.Contacts@bnpparibas.com.

Centralised clearing onder EMIR oplossingen voor portefeuillebeheer – September 2016



Decomposing funding-ratio risk: Providing pension funds with key insights into their liabilities hedge mismatch and other factor exposures
Summer 2017
Erik Kroon, Raul Leote de Carvalho, Anton Wouters


The case for listed real estate in a multi-asset portfolio
Date: May 2016
Authors: Xiao Lu, Raul Leote de Carvalho, Majdouline Zakaria, Shaun Stevens, Jan Willem Vis

Uncloacking cape: a new look at an old valuation ratio
Date: March 2016
Authors: Thomas Philips, Cenk Ural

Choices to address foreign currency exposure
Date : March 2016
Authors : Momtchil Pojarliev

The Equities Debate
Date : January 2016
Authors : Guy Davies, Simon Roberts, Raul Leote de Carvalho, Jacky Prudhomme, Guido Stucchi


Evolving forms of Smart Beta, from indexation to factor investing
Date : August 2015
Authors : Raul Leote de Carvalho

Going Mainstream with ESG
Date: July 2015
Authors: Edwin Simon, Dirk Molenaar

Decomposing Funding Ratio Risk
Date: May 2015
Authors: Raul Leote de Carvalho, Erik Kroon, Anton Wouters

The Theory of Low Volatility Investing
Date : April 2015
Authors :Thomas Heckel, Raul Leote de Carvalho

Portfolio Insurance with Adaptive Protection
Date : May 2015
Authors : François Soupé, Thomas Heckel, Raul Leote de Carvalho

A Discretionary Approach to Currency Investing
Date : April 2015
Authors : Adnan Akant


Low-risk anomaly everywhere : Evidence from equity sectors
Date : October 2014
Authors : Raul Leote de Carvalho, Majdouline Zakaria, Xiao Lu, Pierre Moulin

Corporate Credit Limits For Fixed Income Portfolios
Date : October 2014
Authors : Miikka Tauren, Thomas Philips

Forecasting U.S. Bond Returns: A Practitioner’s Perspective
Date : April 2014
Authors : Georges Mylkinov

Low-Risk Anomalies in Global Fixed Income
Date : Spring 2014
Authors : Raul Leote de Carvalho, Patrick Dugnolle, Xiao Lu, Pierre Moulin

Dynamic Liability-Driven Investing Strategy: The emergence of a new paradigm for pension funds ?
Date : February 2014
Authors : Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau

Smotthing your dide: how managing risk can lead to higher returns
Date : January 2014
Authors : Raul Leote de Carvalho, Romain Perchet


Emerging Market Equities: Does Faster Growth Translate into Higher Returns ?
Date : June 2013
Authors : Raul Leote de Carvalho, Claire Méhu, Chris Jeffrey, Joost van Leenders

Multi Alpha Equity Portfolios
Date : May 2013
Authors : Pierre Moulin, Xiao Lu, Raul Leote de Carvalho

Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints
Date : February 2013
Authors : Romain Deguest, Lionel Martellini, Vincent Milhau


Determining a Strategic Asset Allocation in a Solvency II framework
Date : November 2012
Authors : Pierre Moulin, Thomas Heckel, Anne Poirrier-Hamon, Anton Wouters, Zine Amghar, Sophie Debehogne

Towards Second Generation Equity Risk-Based Strategies
Date : October 2012
Authors : Pierre Moulin, Raul Leote de Carvalho, Xiao Lu

Demystifying Equity Risk-Based Strategies: a simple Alpha plus Beta description
Date : March 2012
Authors : Pierre Moulin, Raul Leote de Carvalho, Xiao Lu

Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risk
Date : February 2012
Authors : Lionel Martellini, Vincent Milhau, Andrea Tarelli


Simple and Robust Risk Budgeting with Expected Shortfall
Date : October 2011
Authors : Thomas Phillips, Michael Liu

An Integrated Approach to Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams
Date : June 2011
Authors : PLionel Martellini, Vincent Milhau

Explicit coupling of informative prior and likelihood functions in a Bayesian multivariate framework and application to a new non-orthogonal formulation of the Black-Litterman model
Date : January 2011
Authors : Raul Leote de Carvalho, François Ogliaro, Robet K Rice, Stewart Becker


Measuring the Benefits of Dynamic Asset Allocation Strategies in the Presence of Liability Constraints
Date : March 2009
Authors : Lionel Martellini, Vincent Milhau