Vix
BAML tinkers with tradable volatility index for tail risk hedging
Bank of America Merrill Lynch has developed a liquid volatility index for institutions which are seeking a systematic tail risk hedge.
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility and correlation also spiked. The dislocations are rumoured to have caused...
Exchange-traded fund (ETF) provider Source has created the first European ETF on the S&P 500 Vix Futures Index, providing investors with access to volatility at a time when fiscal problems in Greece and...
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Asia funds of hedge funds ramp up risk management
Leading alternative asset investors are placing a higher focus on the ability of funds of hedge funds in Asia as well as hedge fund managers to respond quickly to volatile markets following the collapse of Lehman Brothers in 2008. "Since the crisis...
Volatility fears increase after May whiplash
Equity markets suffered a whiplash effect before and after the second weekend of May, with the Eurostoxx 50 dropping 4.26% on Friday, May 7, only to bounce back by 10.35% the following Monday.
Risk indicators spike during a dramatic week
Volatility rose to near-record levels this week as eurozone anxiety intensified
BarCap launches iPath ETNs in London
Barclays Capital launched its iPath Exchange Traded Notes (ETNs) on the London Stock Exchange (LSE) today. Nine of the 12 ETNs will provide investors with exposure to commodities, and three to volatility. The introduction of the products in the UK follows...
Traders hit by low levels of vol
The drop in equity implied volatility over the past few months has hit a number of so-called vol funds, with several racking up losses and at least one deciding to sell its options portfolio. First New York, a privately held prop house, sold its options...
How can investment banks use grid technology?
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Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
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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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