Variance
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Application of the Heath–Platen estimator in the Fong–Vasicek short rate model
In this paper, the authors construct a Heath-Platen-type Monte Carlo estimator that performs extraordinarily well compared with the crude Monte Carlo estimation.
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Insights into robust optimization: decomposing into mean–variance and risk-based portfolios
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Time for a timer
Time for a timer
Japanese banks recycle risk into Europe
Viva las vega
Cutting Edge introduction: Hedging dependence
Hedging dependence
ETF providers look to alternative beta
Weighing the alternatives
Selling volatility and correlation remains popular, but is it safe?
Making way for the money-spinner
Hedge funds play dangerous volatility game
A dangerous game
Equity derivatives
Special report
Short volatility exposures pose risks
A dangerous game
Risk South Africa Rankings 2010
Neck and neck
Volatility, correlation and skew too
Surviving skew
Goldman hit by short equity volatility position
Rumours of big losses in Goldman's equity derivatives business are borne out as second-quarter profits drop 83%.
Vol and correlation cause equity derivatives pain
Hedge funds and dealers reported to suffer losses from recent equity derivatives moves
Between volatility and variance
Banks and investors were hammered on short single-stock variance positions during the financial crisis, leading many dealers to withdraw from the variance swap market. The alternative that some have reverted to is the volatility swap, although this has…