Variance swaps
Sponsored statement: Ito33
Original headline:
Source: Risk magazine
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner...
Original headline:
Source: Risk magazine
Derivatives businesses are under enormous pressure to deliver a clear rationale and unprecedented transparency for their products. Specialised quantitative support of structuring is required. Andrei Soklakov...
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More Variance swaps articles
Short volatility exposures pose risks
Original headline:
Source: Risk magazine
Hedge funds and other sophisticated investors have been positioning themselves as sellers of volatility and correlation, despite recent global events. But some market participants are urging caution. Mark Pengelly reports
Global events fail to rock dispersion trades
Published online only
Source: Risk magazine
Recent global events have not dented the popularity of dispersion trades among hedge funds, claim bankers
Artradis collapse a failure of judgement, not risk management, says...
Published online only
Source: Asia Risk
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack...
Curbing dispersion exposure
Original headline:
Source: Risk magazine
Many dealers were badly hurt by short single-stock variance positions at the end of 2008. Despite this, a number of banks have reopened dispersion desks this year to tap into renewed investor interest in the trade. Have they learned any lessons? By Matt...
Correlation dislocation
Original headline:
Source: Structured Products
Hedging portfolios by buying equity volatility was the right answer to the market conditions of 2008, but the same has not been true this year as asset classes dislocate and the price of volatility rises. Joel Clark investigates
Volatility: the next mainstream asset class?
Original headline:
Source: Structured Products
Trading volatility used to be the domain of an elite group of sophisticated investors but this year pension funds and even retail investors started snapping up the latest generation of products. It could be a flash-in-the-pan fad but more likely volatility...
Structural changes behind rise in long-dated skew, say dealers
Published online only
Source: Risk magazine
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
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