Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Primes hesitant to take big positions on embattled currency
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Glut of HQLA stock compounds lower cash outflows to push ratio to 273%
New model makes it easier to coherently price correlated derivatives
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