Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
HVA is framed consistently with other valuation adjustments
Put options may reduce the cost of hedging strategies for insurers
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Trading shutdown on October 1 disrupted observation dates for some structured products
Interview: Ralf Donner explains why algo usage is up while markets are down
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Flatter US yield curve spurs demand for a product with a painful history
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
“This time next year volatility will most likely be low,” says Fishwick
Gamma deserves share of spotlight in volatility drama
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Risk30: Low volatility aids and hinders Danish fund
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.