Correlation
Structural shifts in equity flows and ETFs force up correlation, says...
HSBC's global report indicates that correlation in the global equities market has been steadily rising since 2001.
Skew skyrocketed while volatility and correlation spiked in May, reviving memories of the carnage inflicted in the months that followed the bankruptcy of Lehman Brothers in 2008. The dislocations are rumoured...
Kempen has put together a basket of property stocks in the Netherlands that allows investors sector access. The product includes exposure to the US dollar:euro exchange rate and includes a 70% barrier....
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Structured products
The financial crisis encouraged investors to ditch complex payouts in favour of simplicity. For many retail and some institutional investors, exchange-traded funds (ETFs) presented a cost-effective, simple alternative. However, some participants believe...
ETFs under the spotlight amid high correlation
Markets have become less volatile recently, but correlation remains persistently high. Some analysts point the finger at index investing – but that theory has plenty of critics. Whatever the explanation, investors will be hoping it doesn’t take a...
Banks struggle with Basel 2.5
Banks are gearing up to comply with changes to the Basel Committee’s market risk framework from the beginning of 2012. But risk managers complain the rules are far from perfect and leave too much open to interpretation. Mark Pengelly reports
Mizuho provides a model model for AMA in Japan
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...
The rise of multi-currency options
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
Foreign exchange
The eurozone debt crisis in May drummed home to everyone that stumping up for a hedge against tail risk makes a lot of sense. Those that hadn’t got crash protection in place already – and many had – scrambled around looking for possible macro hedges....
Playing on forex correlation
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
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