Absolute return volatility

The use of absolute return volatility has manymodelling benefits, says John Cotter. An illustration isgiven for the market risk measure, minimum capitalrequirements

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Volatility modelling is a key issue for the finance industryfrom an academic and practitioner perspective.This is understandable given the importance that volatilityplays in risk management and the development of accurate risk measures

in a univariate or multivariate framework. To illustrate, successfulmarket risk management requires the use of accurate risk measuressuch as minimum capital requirements. These risk measures areunderpinned by the input of volatility

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What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

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