Sudden depreciation of the Swiss franc, following an SNB announcement last Tuesday that it would buy unlimited amounts of foreign currency, has left some participants nursing hefty losses
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Volatility articles
This month we will define correlation and its effect on a portfolio, as well as on the pricing and properties of a structured product linked to a basket. In the next issue, we will consider how correlation is marked and traded and the effect of different...
Regulators need to protect markets from "rumours and false information" say bans' supporters
Declining forex implied volatility is driving increased hedging among Asian corporates. While dealers report rebounding risk appetite for options and structured products, treasurers continue to rely on forwards and futures to carry the bulk of their hedging...
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They...
Barclays has issued a second version of its iPath Long Enhanced S&P 500 Vix Mid-Term Futures ETN, which some observers say risks suffering the same fate as its predecessor unless market conditions change
Carbon allowance trading hits all-time high in June as analysts downgrade predicted average ETS Phase 3 price to €22 per tonne
Nobel winning quant makes the case for market-making as a stabilising force and a source of returns
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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