Correlation
Equity derivatives
Equity derivatives special report
Equity investors struggle with high correlation
Dealing with a break-up
Demand for downside puts keeps skew high
The turn of the skew
Cross-asset correlations pose opportunities - and threats
Opportunities and threats
Quant unlocks the physics of the flash crash
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
Breaking correlation breaks
Breaking correlation breaks
Analysing correlations under stress
Analysing correlations under stress
Structural shifts in equity flows and ETFs force up correlation, says HSBC
HSBC's global report indicates that correlation in the global equities market has been steadily rising since 2001.
Banks struggle with Basel 2.5
Challenging change
Structured products
Special report
ETFs under the spotlight amid high correlation
All together now
Mizuho provides a model model for AMA in Japan
Japan’s regulator points to Mizuho Financial Group’s operational risk management model as an example for banks in the country to follow. Shigehiko Mori, the group’s head of operational risk, talks about how the model works and his plans for continued…
The rise of multi-currency options
Adrian Campbell-Smith (RBS Currency Options Trading) and Ben Hamdani (RBS Currency Structuring) examine the realm of multi-currency options and explain some of the reasons behind their increasing popularity
Playing on forex correlation
The eurozone crisis sent market participants scrambling to put on macro hedges. A popular trade was to short the euro, but with the cost of this strategy escalating, some turned to correlation products. By Christopher Whittall
Kempen's property sector play
Access to property
Volatility, correlation and skew too
Surviving skew
High yield spreads no longer correlated to default rates: Jerry Tempelman column
High yield spreads are more highly correlated to the VIX index than to default rates.
Morgan Stanley Jump
Morgan Stanley has issued Jump Securities, a structured products based on the performance of a basket composed of the iShares MSCI Emerging Markets Index Fund and the Dow Jones Eurostoxx 50. Principal is not protected and the upside above the target…
Malaysian investors hunt for hybrids
Hybrid structures are increasingly popular in Malaysia as investors look to keep the cost of hedging down and moving away from capital protected products
Surviving skew
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility and correlation also spiked. The dislocations are rumoured to have caused losses for some exotic equity books. How did dealers…
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies