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
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Volatility articles
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)...
Tracking performance of ETFs is examined, with a focus on volatility decay
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
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.