Volatility
UBS VAR nearly doubles to hit decade high
Hedging activity behind spike as equity markets withstood Iran turmoil
Sunny days and market swings: risk assessment in the Indian green venture landscape
The authors investigate the risk assessment of renewable energy businesses by applying the GARCH model to the effect of shocks on the volatility of the India renewable energy sector.
Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war
Focussing on energy stocks and cryptocurrencies prior to and during the Russo-Ukrainian conflict, this paper examines the impact of geopolitical conflict on the informational efficiency of financial markets
The impact of environmental, social and governance scores on corporate risk: evidence from Chinese listed companies
The authors investigate how changes in ESG performance can impact firms' marker-based risk exposures.
Bringing real-time US options analytics to Apac market participants
Cboe Options Analytics Select extends institutional-grade options analytics capabilities globally, creating a tailored solution for Apac investors
UBS partners with LGT on ‘tricky’ Vix futures QIS
Swiss bank aims to avoid ‘backtest Olympics’ for strategies at risk of overfitting
Partnership approach pays off for TD Securities
TD outperforms in Commodity Rankings as firms seek support amid market volatility and disruption
Clearing banks pick holes in VAR-based CCP margin models
New models ease cliff effects, but banks say they are less predictable and prone to undershooting
Why do prices jump?
After years of investigation, we still aren’t sure, says Jean-Philippe Bouchaud
Commodity volatility prompts a rethink of risk frameworks
Commodity market volatility is exposing the cracks in firms’ risk management frameworks and policies
The unreasonable effectiveness of randomised quasi-Monte Carlo in finance
An analysis of simulation methods shows which works best for Asian options
SocGen is getting into the systematic equity dispersion game
New single-stock options index is first step to plugging a gap in the bank’s QIS business
Markets perceive the future in very distorted ways
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud
Eurex short-term rates volumes collapse on Iran volatility
Surging yields, options hedging activity and revamped incentive schemes drive record volumes at Ice
Forecasting Chinese crude oil futures’ volatility: a heterogeneous volatility spillover-conditional autoregressive range model
This paper offers a new model with which to model and forecast the volatility of Chinese crude oil futures.
Traders revive emerging market carry trades on vol drop
Investors eye high-yield Latin America currencies as implied volatility falls
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
Asian banks close out energy clients as Iran war bites
Firms with short jet fuel positions faced losses up to $100 million as initial margin soared 566%
The dollar do-si-do: hedgers review FX moves
Brief return of US dollar to safe-haven status amid Iran upheaval prompts real money investors to pause hedging activity
An econometric investigation on the stability of stablecoins: are these coins stable or is their stability just a flip of the coin?
The authors investigate the volatility dynamics of US-dollar-backed stablecoins, challenging the assumption of inherent stability using a multilevel econometric framework.
SRT deals shelved amid Iran and AI concerns
Simple and risk-reducing deals prioritised as growing fears disrupt synthetic risk-transfer pipeline