Sponsored feature: Deutsche Börse
More Volatility articles
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Bonnefous defends investment in commodities amid market turbulence
Official post-mortem considers claims that options hedging amplified October 15 move
Industry leader Vincent Kaminski discusses the challenges faced by energy markets and his new book, Managing Energy Price Risk, 4th Edition.
Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT This paper proposes a price model for financial assets using the supply demand relationship, referred to as a supply-and-demand based price (SDP) model. The model demonstrates that stock price...
Prudential rules sought to bring about new market structure, says ex-BoE deputy governor
Two ubiquitous risk analytics are easily and often misunderstood
2014 saw rising activity in Europe's exchange-traded and OTC gas markets
We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH (IGARCH)...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.