Volatility
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Institutional investors take profit on gold trades
Hedge funds trimmed longs after gold rally and triggered massive market selloff
The curious case of the missing volatility risk premium
Volatility investors will need to work harder and smarter to capture value, says Capstone
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Required IM at top CCPs climbs 11% to record high in Q2
Tariff shocks and trading shifts propel surge across the board
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
Brevan Howard: life beyond macro
Talking Heads 2025: Wider range of strategies helped firm rebound from 2018 low – but brought re-correlation risks
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
How FX pricing is adapting to Trumpian markets
Dealers are tying pricing engines to new signals in effort to cope with out-of-the-blue moves
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
Trump’s FX impact: a tale of two terms
Traders say Trump version 2.0 is already proving a much trickier task to manage than the original, and have had to adapt
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Redefining risk playbooks amid volatility and AI disruption
Best practices around resilience, adaptability and clarity of purpose amid uncharted markets and political uncertainty
Japan election result sours hedge funds’ yen options bets
Dealers saw flows in significant size for JPY weakness but were forced to take profits
Tidal rides retail boom to lead in single-stock options
Counterparty Radar: Volatility-selling ETF firm accounts for half of trading among US funds
From fringe to forecast: why bitcoin now moves like a currency
LMAX data finds crypto prices react to macro market events as quickly as EUR/USD