Variance
Time for a timer
Time for a timer
Japanese banks recycle risk into Europe
Viva las vega
Cutting Edge introduction: Hedging dependence
Hedging dependence
ETF providers look to alternative beta
Weighing the alternatives
Selling volatility and correlation remains popular, but is it safe?
Making way for the money-spinner
Hedge funds play dangerous volatility game
A dangerous game
Equity derivatives
Special report
Short volatility exposures pose risks
A dangerous game
Risk South Africa Rankings 2010
Neck and neck
Volatility, correlation and skew too
Surviving skew
Goldman hit by short equity volatility position
Rumours of big losses in Goldman's equity derivatives business are borne out as second-quarter profits drop 83%.
Vol and correlation cause equity derivatives pain
Hedge funds and dealers reported to suffer losses from recent equity derivatives moves
Between volatility and variance
Banks and investors were hammered on short single-stock variance positions during the financial crisis, leading many dealers to withdraw from the variance swap market. The alternative that some have reverted to is the volatility swap, although this has…
Variance-covariance-based risk allocation in credit portfolios
Mikhail Voropaev proposes high-precision analytical approximation for variance-covariance-based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
The equity volatility-credit link
Sponsored Statement
Quant of the Year - Dilip Madan
Risk Awards 2008
Time to smile
Cutting edge: Option pricing
A true test for value-at-risk
The three classic approaches for measuring portfolio value-at-risk do not compare like with like, argues Richard Sage. Here he presents a test portfolio to highlight the differences between calculation methods
Hedge your Monte Carlo
Option pricing