EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Clearing advocates have plenty of reasons to feel optimistic about the future
Market microstructure theory may also explain long-term patterns in stock markets
Market RWAs increased by C$13.9 billion over the three months to end-July
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Extreme relative cost of tail risk hedging is driven by flows more than fear
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
This paper employs a PDE approach to price several volatility derivatives under different transaction costs and illiquidity models.
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
Extreme short-dated skew can be obtained by decomposing it in two parts
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
Short volatility players try to box clever after strategy’s Covid rout
This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data.
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility