Volatility
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.
Structured notes – Transforming risk into opportunities
Global markets have experienced a period of extreme volatility in response to acute concerns over the economic impact of the Covid‑19 pandemic. Numerix explores what this means for traders, issuers, risk managers and investors as the structured products…
Jittery ringgit spurs options growth in Malaysia
Local corporates seek new hedging tools, but longer-term options liquidity lacking
Risk doesn’t wait for market close
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
Volatility spillover along the supply chains: a network analysis on economic links
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
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