Skew on major indexes leaps after market wakes up to risks of UK's referendum
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Few funds have tracking-error constraints, says risk institute
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
A known flaw in conventional risk models is becoming hard to ignore in current markets
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
High volatility and noisy data sets have profound implications on risk management in commodity markets
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Inflows increasing correlations and reducing performance, say traders
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Sponsored feature: Deutsche Börse
Falling rand and concerns over US rates contribute to difficult year for banks
Commerzbank tops Deutsches Risk rankings for second year in a row
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Bonnefous defends investment in commodities amid market turbulence
Official post-mortem considers claims that options hedging amplified October 15 move
Draft report urges regulators to consider impact of FRTB and FTT on markets
Sponsored feature: Commerzbank