Volatility, correlation and skew too

Surviving skew

Volatility and skew sent dealers on a rollercoaster ride

Painful memories of the 2008 market dislocations were evoked in May, as banks were presented with a remarkably similar set of violent upsets in volatility, skew, dividends and correlation.

In the second half of 2008 and early 2009, a spike in volatility and correlation, combined with a collapse in dividend expectations, was disastrous for virtually all dealers. Turmoil was particularly acute in the months following the Lehman Brothers collapse in September 2008, with some equity derivatives deale

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: