Vix
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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...
Flows into volatility-based structured products and exchange-traded funds have been greatest in the US, though even European investors have tended to use the Vix index to access volatility. But higher...
Brisk development of the equity derivatives market in Asia is opening the door to further developments in structured products, according to a research report released in the last quarter of 2011 by EDHEC-Risk...
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More Vix articles
Asian institutional investors take aggressive stance on volatility
The potential for another systemic meltdown is a clear and present danger given the precarious state of eurozone public finances plus global debt and credit imbalances. But Asian investors are not rushing to buy crash protection. Rather, with implied...
Quant Congress Europe: Quants urged to ditch equilibrium models
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Asian investors review structured products strategies after losses
The collapse of equity prices since April in some large structured products markets such as South Korea has left investors facing substantial mark-to-market losses, and the prospect of being cash-locked for several years. But risk appetite remains robust...
Volatility of volatility spike drives options liquidity squeeze
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
Risk interdealer rankings 2011: Dealers
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche...
Termination of iPath volatility ETN 'likely to be repeated' in latest...
Barclays has issued a second version of its iPath Long Enhanced S&P 500 Vix Mid-Term Futures ETN, which some observers say risks suffering the same fate as its predecessor unless market conditions change
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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