Volatility
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
FX volatilities fall on receding US election fears
Polls point to a decisive Biden win – though some worry market is being complacent
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
New HKEX warrant buyers surf vol in unfamiliar waters
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Fund size and the stability of portfolio risk
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
Eurex passes volatility test with flying colours
Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved its credentials as a reliable and sustainable euro liquidity pool
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
Rethinking compliance – New approaches to conduct risk and surveillance
Improper behaviour by employees of a financial institution that has the potential to contribute to market instability – known as conduct risk – can have severe financial, regulatory, legal and reputational ramifications. This Risk.net webinar, in…
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.