Volatility
Jive Investments quicksteps towards hedged returns
Brazilian fund manager uses combo of options and forwards to push down hedging costs compared with plain NDF strategy
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
OCC payment obligations hit record in Q1
Liquid resources up 6.5% as liquidity risk grows to new highs
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Volatility fuels record growth in CDCC’s default fund
Skin in the game increase overshadowed by member contribution spike in Q1
Fixed income finesse: striking a balance amid shifting rates
An increasingly unpredictable economic environment leads investors to look for a wider range of products to satisfy evolving strategies
Volatility and geopolitical risk fuel new approaches to energy trading and risk management
Energy market participants seek new tools and signals to navigate near-term volatility and long-term uncertainty
Investors find smoother path with smart beta
In the face of evolving volatility, investors are demanding a smarter approach to strategic asset allocation
NSCC logs record $9.2bn daily VM call in Q1
Required initial margin surges 38% in quarter marked by volatility
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
Disclosed trading an oasis in the FX liquidity ‘mirage’
LPs say growth of relationship-based trading bolstered market during April volatility
Wells Fargo’s commodity book hits record size after 36% surge
Notional growth far outpaces Wall Street heavyweights
Vol ‘too low’ given US uncertainty, say market-makers
Isda AGM: Panellists warn against complacency heading into the summer as US 90-day tariff pause rolls off
Timing minimum-variance investment in the Canadian stock market
This paper proposes a novel explanation of the variation in idiosyncratic volatility anomaly return and its use in minimum-variance investing in the Canadian stock market.
Examining intersector risk synchronization in the Indian stock market: evidence from a time-varying connectedness approach
The authors investigate volatility spillover across the Covid-19 pandemic, Russia-Ukraine conflict and the collapse of Silicon Valley Bank and demonstrate how different sectors act as shock absorbers and transmitters.
Dollar dip erodes AmEx’s overseas hedges by $198m
FX swaps shielding foreign equity stumble as greenback retreats
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
‘This is not a wobble’: Brunello Rosa on the path to de-dollarisation
Digital currencies will play a central role as China challenges US hegemony, says economist
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off