Equity derivatives
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Asia moves: Senior hires at Nomura, HKEX and more
Latest job news from across the industry
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
How MerQube sold Wall Street on open indexing relationships
Four-year-old Silicon Valley firm sees growing role for third parties as indexes become more complex
Fidelity, T Rowe add to sold single-stock call positions
Counterparty Radar: US mutual funds, ETFs shed $2.7 billion in options notional during Q4
Capitolis chief risk officer to depart
Two months after firm registered as swap dealer, signatory of SEC filing announces retirement
Hong Kong’s inline warrants fall from grace
Volumes plunge 97% as rising volatility turns off investors
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
Rising star in quantitative finance: Sigurd Emil Rømer
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models
Bank risk manager of the year: Natixis
Risk Awards 2023: Revised risk management framework and front-office collaboration help bank withstand 2022 volatility surge
Franklin Templeton takes single-stock options top spot
Counterparty Radar: Market for US mutual funds and ETFs expanded by $4 billion in Q3
Capitolis registers swap dealer in strategy refresh
Vendor’s SBSD registration may facilitate unique multi-seller platform for equity swap business
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
FSS sounds alarm as $800m of Korean autocalls slip into red
Regulator calls for vigilance as HSCEI products trade through knock-in levels during third quarter
Why Shenwan Hongyuan welcomes foreign banks to China
Securities firm sees opportunities to work together, but says it has the edge with local clients
Equity swap clearing: LSEG aims to sway naysayers
Initial margin, SA-CCR and Archegos fuel comeback of total return swap clearing, but scepticism remains
Capitolis cuts workforce by 25% as bear market bites
Recent senior hires including James Kibbe and James Reilly are among the departures