Forex mispricing, Pillar 2 and the volatility trap

The week on Risk.net, February 10-16, 2018

7 days montage 150218

What causes forex correlation swaps to be mispriced?

UBS quants show prices can differ by up to 25 correlation points if products modelled accurately

Volatility trap: how gamma roused a market monster

The rates market is exposed to some of the same factors that caused equity volatility to explode in February

Pillar 2 moves to centre stage for op risk capital

US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact

 

COMMENTARY: Worse to come

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