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)...
Tracking performance of ETFs is examined, with a focus on volatility decay
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Volatility articles
Volatility seen as positive for financial traders, including banks
Spread option pricing: importance of forex risk factors illustrated
Volume 7, Issue 2 (2014)
Hedge funds holding their nerve in game of volatility limbo
Correlation of currency and underlying asset militates against hedging
EM volatility remains contained – for now
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderou...
The use of internal bank models for meeting capital requirements has been approved for some time. Regulators thus face issues of model approval, necessitating some public domain analysis of model performance....
Weather constitutes an important macroeconomic risk that affects a wide range of industries, among them agriculture, energy and tourism. Companies in these sectors are naturally concerned about unfavorable...
Systematic indexes become expensive "just when you need them", portfolio manager
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.