The turn of the skew
Opportunities and threats
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
Senior quant discusses the high levels of cross-asset correlation across today's markets
Breaking correlation breaks
Analysing correlations under stress
HSBC's global report indicates that correlation in the global equities market has been steadily rising since 2001.
Access to property
All together now
Japan’s regulator points to Mizuho Financial Group’s operational risk management model as an example for banks in the country to follow. Shigehiko Mori, the group’s head of operational risk, talks about how the model works and his plans for continued...
Adrian Campbell-Smith (RBS Currency Options Trading) and Ben Hamdani (RBS Currency Structuring) examine the realm of multi-currency options and explain some of the reasons behind their increasing popularity
The eurozone crisis sent market participants scrambling to put on macro hedges. A popular trade was to short the euro, but with the cost of this strategy escalating, some turned to correlation products. By Christopher Whittall
High yield spreads are more highly correlated to the VIX index than to default rates.
Morgan Stanley has issued Jump Securities, a structured products based on the performance of a basket composed of the iShares MSCI Emerging Markets Index Fund and the Dow Jones Eurostoxx 50. Principal is not protected and the upside above the target level...
Hybrid structures are increasingly popular in Malaysia as investors look to keep the cost of hedging down and moving away from capital protected products
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility and correlation also spiked. The dislocations are rumoured to have caused losses for some exotic equity books. How did dealers...
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
A formal 8% floor is set for correlation trading capital charge following analysis of QIS results.