Volatility
Trade of the month: reverse convertibles
Trade of the month: reverse convertibles
Lookback
Lookback
Allianz CRO: industry and regulators ‘in denial’ over solvency levels
Insurers' heads are in the sand regarding the impact of current market turmoil on their Solvency II-consistent balance sheets, says Tom Wilson
Market volatility ‘biggest concern’ for financial firms, finds survey
Regulatory risk and political meddling also big concerns, says Norton Rose research
Eurozone deal brings relief in forex spot and options
Risk sentiment appeared to make a comeback in forex markets yesterday, as options volatility fell from record highs and the euro rallied in response to the deal announced after the Euro Summit in Brussels
Asian investors review structured products strategies after losses
Managing the falls
FX Week Asia: Corporate hedgers rattled by volatility
Tumultuous foreign exchange market in September has left some hedging strategies in disarray and led to more timely exposure monitoring in one treasury department, say corporate treasurers speaking at FX Week Asia
Market snapshot
Market snapshot
Editorial: Volatility and complexity
Editorial: Volatility and complexity
Sponsored forum: Exchange-traded funds
Driving growth toward a positive future
Sponsored statement: Murex
Trust is good, control is better – Complex model validation
Filling the gaps
Filling the gaps
New strategic ETNs seek to exploit volatility and mitigate risk
The latest exchange-traded notes from Barclays, Credit Suisse and RBS offer alternative strategies aimed at making the most of market volatility or hedging against tougher conditions
Video: What is the future for ETFs that provide exposure to hidden assets
What is the future for ETFs that provide exposure to hidden assets such as hedge funds, private equity and volatility?
Market volatility may have brought UBS losses to light
The revelation of rogue trading at UBS follows a period of market volatility. That is nothing new, say risk managers
Citi reveals dedicated quant investment strategies group
The shake-up at Citi now incorporates a new group, which will specialise in providing indexes and strategies
Long Swiss franc players hit by SNB move
Sudden depreciation of the Swiss franc, following an SNB announcement last Tuesday that it would buy unlimited amounts of foreign currency, has left some participants nursing hefty losses
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Risk interdealer rankings 2011: Dealers
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche…
Trade of the month: Correlation
Trade of the month: Correlation
Protected banks welcome new European short-selling bans
Regulators need to protect markets from "rumours and false information" say bans' supporters
Corporate FX hedging surges in Asia
Surge in structures
Cutting edge – multi-scale volatility in commodity markets
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…
Termination of iPath volatility ETN 'likely to be repeated' in latest version
Barclays has issued a second version of its iPath Long Enhanced S&P 500 Vix Mid-Term Futures ETN, which some observers say risks suffering the same fate as its predecessor unless market conditions change