Volatility
‘This is not a wobble’: Brunello Rosa on the path to de-dollarisation
Digital currencies will play a central role as China challenges US hegemony, says economist
FX liquidity ‘worse than Covid’ amid tariff volatility, dealers say
Available liquidity for single clips dropped to as low as $20 million ahead of tariff pause
US tariffs spur rush to European dividend futures
Turnover hits €3.5bn in three days as traders brace for fallout on corporate balance sheets
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
Tariff turbulence piles pressure on banks’ VAR models
Backtesting breaches start to mount, but too early to tell if regulatory intervention needed
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
Hedging playbook goes ‘out the window’ as Trump tariffs slam markets
Dispersion, put spreads and VKOs paid off as stocks plunged, but outlook remains wildly uncertain
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
Corporates hamstrung in response to FX volatility
Restrictions around hedging programmes leave US firms struggling to adapt to dollar weakness
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
Automated market-making tested by intraday FX vol
Price gaps in spot FX markets could be exacerbated by algos trading on headline risk
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Positive M&A outlook could boost deal contingent hedges
Traders predict hedging activity linked to deal completions will take off this year
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet