The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Asia Risk Awards 2018
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Cost savings drive dealers away from Clob model into alternative venues
Sovereign bond yield spike hits public finance portfolio
Solvency II SCR ratio dips to a still lofty 201% in the first half
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Official sees problems in draft regulation, says EU council and parliament are discussing them
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Net derivative liabilities fall 95% year-on-year
Derivatives consultant proposes a model for arbitrage-free pricing
Equity and prime services revenues surge 19.3% at BNPP
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Increased client activity and market volatility increases firmwide risk
February sell-off could presage a bigger slide if correlations change, buy-siders say