Volatility
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Nomura’s LCR hits new record
Glut of HQLA stock compounds lower cash outflows to push ratio to 273%
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Cryptocurrency versus other financial instruments: how a small market affects a large market
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Equity derivatives house of the year: BNP Paribas
Asia Risk Awards 2021
Collateral management solution of the year: Adenza
Asia Risk Awards 2021
Buy-side trading system of the year: Tradeweb
Asia Risk Awards 2021
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
Correlated idiosyncratic volatility shocks
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
NSCC caught $600m short during meme-stock frenzy
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
The effects of transaction costs and illiquidity on the prices of volatility derivatives
This paper employs a PDE approach to price several volatility derivatives under different transaction costs and illiquidity models.
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
The Texas freeze and future calamities – How to build business resiliency in the face of disruption
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert