Risk Awards 2020: New equity index contracts most successful launch in exchange’s history
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
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…
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
Asia Risk Awards 2019
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
In this paper, the authors present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture.
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Losses estimated at close to $500 million as US index volatility spikes
Stock market bubbles have seldom burst, says Yale economist
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR