Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Dealers warn of $240 million in hedging losses if HSCEI index slides further
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
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
In this paper, the authors give a decomposition formula to calculate the vega index (sensitivity with respect to changes in volatility) for options with prices that depend on the extrema (maximum or minimum) and terminal value of the underlying stock…
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Risk30: Low volatility aids and hinders Danish fund
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Rising index likely to trigger increased volatility, say dealers
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
CCP failed to properly capture vega, strike and wing risk, expert report claims
Dealers say Korean autocall pain subdued as volatility stays low
Dealers lose over $300 million in scramble to hedge autocallables
Autocallable knock-in levels under pressure but losses averted
Rise in single stock uridashi issuance drives trade
Volatility is trading at low levels on HSCEI despite China fears
Losses manageable now but if the Nikkei goes under 13,000, "there will be panic"
Equity-linked underlyings moving to Euro Stoxx 50
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the guarantees. Louie Woodall examines how these…
Viva las vega
Viva Las Vega!