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.
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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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...
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...
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied...
The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, interbank lending rates continued to fall.
Record levels of volatility in the equity market since September have caused huge losses on popular indexes that allow investors to take short implied volatility positions. These quantitative strategies aim to capture the premiums for implied volatility...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
UK, 12th Feb 2014
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