Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Start-up seeks to commercialise controversial VPIN measure
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Verification and model challenges arise as volatility and margins dry up
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
A liquidity model for basket of correlated securities is presented
Banks forced to consider link between risks and macroeconomic factors
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Brevan exec says market risk capital rules could force buy side out of certain trades
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Some model-driven investors see signs of crowding in short volatility trades
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
Rising index likely to trigger increased volatility, say dealers