Viva Las Vega!
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the e...
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Skew articles
Sponsored forum: US inflation derivatives
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Volatility of volatility spike drives options liquidity squeeze
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.