Volatility
BRL bulls hold firm after Bolsonaro first-round win
Hedge funds keep USD/BRL puts ahead of election run-off as protection premiums for Lula upset soar
Emerging markets options trading outpaces G10
Growth in EM options volumes between dealers and clients are nearly double that of G10 pairs
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
Westpac’s credit exposures surge on Aussie dollar moves
Bank adds A$1.5bn in CVA and CCR charges in latest quarter, driven by higher mark-to-market value of derivatives
Options vanna positioning echoes 2024 vol spike, banks warn
Extreme negative position could exacerbate vol response in US equity selloff
UBS VAR nearly doubles to hit decade high
Hedging activity behind spike as equity markets withstood Iran turmoil
Dealers shun yen barriers after joint US-Japan action
Market-makers retreat from exotic structures amid intervention risk, with funds in wait-and-see mode
Forecasting realized volatility with the implied volatility surface: an image-based approach
This paper investigates methods to extract information about an asset’s future risk from the entire implied volatility surface, converting the IVS into a standardized matrix and model it with an image-based approach
Have CCPs got better at absorbing shocks?
Data suggests most CCPs weathered the Iran-war disruption, but shock frequency is starting to bite
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? by Jean-Philippe Bouchaud
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, by Jean-Philippe Bouchaud
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud