Implied volatility
Alternatively weighted risk premium indexes gain momentum
Published online only
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Original headline:
The eurozone sovereign debt crisis has focused the minds of structured products investors on counterparty risk. Concerns about the size of sovereign debt holdings, as well as access to US dollar funding,...
Original headline:
With derivatives counterparty risk rocketing up the agenda this year, researchers have tried to shed some light on the associated challenges - from capital calculation to pricing - as the annual round-up...
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More Implied volatility articles
Filling the gaps
Original headline:
Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical methods. Here, Alex Lipton and Artur Sepp show...
Market-consistent equity risk premiums
Original headline:
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Filling the gaps
Original headline:
Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical methods. Here, Alex Lipton and Artur Sepp show...
Volatility of volatility spike drives options liquidity squeeze
Original headline:
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
Market volatility sees potential payouts rise and interest in gold and...
Original headline:
Market volatility and global uncertainties are driving investor demand further into gold and volatility-linked products as a means of hedging and managing downside risk, and boosting structured product payouts into the bargain
Product performance: reverse convertibles
Published online only
Reverse convertibles are highly sensitive to volatility, which is one of the reasons that the coupons promised can be so high, but it is also why capital is very much at risk. FVC compares the virtues and workings of three such products from the US
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