Volatility
US structurer of the year: Credit Suisse
Gold is an intriguing investment, but it was Credit Suisse that last year made it very simple, with the first covered call, exchange-traded product issued in the US. The exchange-traded note (ETN) was...
US pension funds are attracted by the low correlation to mainstream asset classes offered by 36 South's flagship fund, says its CIO. He says European funds should not ignore the US market
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma
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More Volatility articles
Japanese banks recycle risk into Europe
Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds. Viren Vaghela reports
Market snapshot: making the most of volatility
The volatility around Research in Motion stock was high enough to ensure that a reverse convertible issued in the US linked to the stock offered to pay investors a near 30% annual return, writes Future Value Consultants’ Suzi Hampson
Editor's letter: retail investors rediscover appetite for risk
You know when it's after the event, because all the talk is of buy low, sell high as the fear about whether or not the moment of investment truth has been missed. You are not hearing that yet, so that must mean that now is either the end of the world...
IndexIQ carves out hedge fund replication niche
Launched in 2006 with a mission to work exclusively in alternative investments, New York-based exchange-traded funds provider IndexIQ has carved out a niche in hedge funds replication. Hannah Collins talks to chief executive Adam Patti
Companies merge cash management and foreign exchange to tackle risk
Cash management and foreign exchange were, until recently, two separate disciplines within the majority of corporates. Now, with pressure on capital levels and ongoing volatility in forex markets, companies are discovering the efficiencies that an integrated...
Volatility structurers turn to FX and rates as equity disappoints
Appetite for hedging equity exposure with structured products based on volatility shrank last year as confidence grew that markets will remain stable for the forseeable future. Now, bankers are looking beyond equity volatility to make returns
Variance and volatility swaps in energy markets
This paper focuses on the pricing of variance and volatility swaps in the energy market. An explicit variance swap formula and a closed-form volatility swap formula (using the Brockhaus-Long approximation) for energy assets with stochastic volatility...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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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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