CCP failed to properly capture vega, strike and wing risk, expert report claims
Dealers say Korean autocall pain subdued as volatility stays low
Dealers lose over $300 million in scramble to hedge autocallables
Autocallable knock-in levels under pressure but losses averted
Rise in single stock uridashi issuance drives trade
Volatility is trading at low levels on HSCEI despite China fears
Losses manageable now but if the Nikkei goes under 13,000, "there will be panic"
Equity-linked underlyings moving to Euro Stoxx 50
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the guarantees. Louie Woodall examines how these mechanisms...
Viva las vega
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 end of the year inflicted further pain. In total, the...
Dealers are left unable to hedge ELS positions as liquidity dries up in Korea’s warrant market
The ETN that grew too fast
CMS: covering all bases
Trimming the fat
RBS will have to pay more to hedge vega from its equity derivatives business after losing offsets provided by cash, rivals say
Risk awards 2012
Requiem for a probabilist
Making way for the money-spinner