Early warning algorithms

Widely used protection models that determines the allocation between “risky” and “non-risky” assets are not optimal for low-frequency tradable portfolios adjustments. The objective is to develop a proprietary early warning algorithm capable of spotting sudden changes in market dynamics. The signal produced by the model will be integrated into the protection algorithms of the Unit-Linked Protected Funds or into other Hybrid Products offered by the Insurance Division. The output should provide a reduction in downside risk, an improvement in performance and an increase in reactiveness and efficiency of the underlying strategy.

In collaboration with