Volatility
Diversifying buy-side risk frameworks
How asset managers can integrate emerging risk factors amid a turbulent market landscape
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
Energy Risk Awards 2023 winner’s video: Nodal Exchange
Paul Cusenza, chairman and chief executive of Nodal Exchange – winner of the 2023 Energy Risk Commodity exchange of the year award – discusses how his firm navigated the extreme conditions of the past year and how he expects power and environmental…
AgBank’s regulatory VAR hits record high in first half
Chinese bank’s market risk up by over a third to highest level in a decade
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
US vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
LME case could redefine exchange powers to cancel trades
European trading venues have broad discretion when responding to market emergencies
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
New hope for crypto derivatives as markets urged to hail CESR
Ethereum staking index could allow swap curve and structured products to develop
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
Risk analytics are key to banks’ digital transformation
Market volatility and external influences are changing the way banks manage risk. SAS Australia explores how adopting digital transformation, alongside a dynamic and agile analytics-first approach, can provide banks with real-time data for identifying…
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks