Volatility
LatAm FX carry trade shrugs off geopolitical fears
Clients in regional carry positions remain undeterred by US interventions, say dealers
Analyzing the impact of energy prices on US stock market volatility
Using data from January 1986 to December 2023, the authors explore the time-varying impact of energy prices on the US stock market.
Dealer views mixed over future of profitable EM FX carry trade
Emerging market FX carry trades have generated 7.5% returns since April, but dealers question longevity
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Machine learning in oil market volatility forecasting: the role of feature selection and forecast horizon
This paper investigates oil market volatility prediction, showing financial variables to dominate short-horizon forecasting, while macroeconomic and sentiment factors increase in importance at longer horizons
Currency derivatives house of the year: Bank of America
Risk Awards 2026: Early call on dollar weakness helped bank break vega records in April and quickly recycle 95% of risk
Real money looks to dynamic hedges after tariff bout
Buy-siders are adopting more responsive FX hedging strategies after correlations broke down
Institutional investors take profit on gold trades
Hedge funds trimmed longs after gold rally and triggered massive market selloff
The curious case of the missing volatility risk premium
Volatility investors will need to work harder and smarter to capture value, says Capstone
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Required IM at top CCPs climbs 11% to record high in Q2
Tariff shocks and trading shifts propel surge across the board
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
Brevan Howard: life beyond macro
Talking Heads 2025: Wider range of strategies helped firm rebound from 2018 low – but brought re-correlation risks
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
How FX pricing is adapting to Trumpian markets
Dealers are tying pricing engines to new signals in effort to cope with out-of-the-blue moves
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19