# Volatility

##### Making the cut: EU eyes Isda’s carbon trading proposals

EBA fears suggested treatment of emissions would be misaligned with rest of FRTB

##### Cryptocurrency versus other financial instruments: how a small market affects a large market

This study analyzes the impact of cryptocurrencies on the function and position of financial markets.

##### BNY Mellon incurred a VAR breach in Q2

The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018

##### FX option selling and weak demand behind vol slide, say traders

EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend

##### Don’t fret about elevated skew, vol experts say

Extreme relative cost of tail risk hedging is driven by flows more than fear

##### Correlated idiosyncratic volatility shocks

To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).

##### Isda disputes excessive FRTB charges for carbon trading

EU carbon certificates show lower volatility and higher netting than Basel approach assumes

##### ‘It’s the economy’: forecasting an op risk climate change spike

History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head

##### NSCC caught \$600m short during meme-stock frenzy

Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1

##### The effects of transaction costs and illiquidity on the prices of volatility derivatives

This paper employs a PDE approach to price several volatility derivatives under different transaction costs and illiquidity models.

##### Podcast: Piterbarg on medians and machine learning

How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation

##### The Texas freeze and future calamities – How to build business resiliency in the face of disruption

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

##### If dogecoin goes to the moon, a risk manager should go too

There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert

##### The step stochastic volatility model

Extreme short-dated skew can be obtained by decomposing it in two parts

##### Option pricing using high-frequency futures prices

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…

##### Insider fraud – Getting security and controls right

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?

##### Is short vol taking the long count?

Short volatility players try to box clever after strategy’s Covid rout

##### The price of Bitcoin: GARCH evidence from high-frequency data

This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data.

##### Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

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.

##### Hero or villain? NSCC draws fire for Robinhood margin waiver

Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility

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