Volatility
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
This paper proposes a multiplicative component CARR (MCCARR) model to capture the "long-memory" effect in volatility.
Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
The authors present backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several of the best-known VaR models, including generalized autoregressive conditional heteroscedasticity (GARCH), extreme value theory…
Mental health: the new frontline for risk management
Rise in stress and anxiety among locked-down staff could open up banks to range of risks
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
Andreas König’s crisis playbook meets Covid-19
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Inside March madness with Citi’s Tuchman
Interview: Trading rooms went virtual, central banks stepped up – but some platforms flopped
Aegon, Allianz Solvency II ratios diverge under coronavirus stress
Aegon cites volatility adjustment for buoying capital position through the crisis
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
FX traders pull back to vanilla strategies for emerging markets
Spreads tighten on many currency pairs but liquidity still patchy
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
NDF access will help tame rupee volatility, say dealers
Lifting of restrictions stopping Indian banks trading rupee NDFs allows RBI to intervene offshore
The mysterious disappearance of a Chicago trading giant
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
Buy side eyes outsourced trading amid Covid disruption
Pressure on trading continuity drives in-house desks to look outwards
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Some quants fear more deleveraging to come
Buy-siders brace for further selling after hedge funds dumped risk in March