Volatility
LME case could redefine exchange powers to cancel trades
European trading venues have broad discretion when responding to market emergencies
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
New hope for crypto derivatives as markets urged to hail CESR
Ethereum staking index could allow swap curve and structured products to develop
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
Risk analytics are key to banks’ digital transformation
Market volatility and external influences are changing the way banks manage risk. SAS Australia explores how adopting digital transformation, alongside a dynamic and agile analytics-first approach, can provide banks with real-time data for identifying…
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
The realized local volatility surface
The authors put forward a Bayesian nonparametric estimation method which reconstructs a counterfactual generalized Wiener measure from historical price data.
Automation and protocol innovation enhance traders' execution experience
This year's volatility saw Tradeweb increase electronic trading as its clients continued using its services rather than fleeing back to voice trading. Market trends contributing to the success of the platform include automated execution, the use of…
Making banks investible again after this year’s turbulence
Following the failure of four US banks and the bail-in of Credit Suisse, panellists at Risk Live Europe discussed the market outlook and whether reform is needed
Ice Credit makes biggest IM call since early pandemic
Aggregate peak calls were 17% higher in Q1 than previous quarter across 25 clearing houses
New developments in XVA: an inside view on bank strategy in a changing world
This webinar addresses market issues and explores banks' strategies for optimising capital efficiency, shedding light on how banks are adapting to changing regulation, how they minimise the impact of market volatility on capital requirements and how…
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
The authors investigate how time-varying higher moments and economic policy uncertainty may be used for predicting the renminbi exchange rate volatility.
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
This paper offers a means of testing initial margin models based on their predictions of the whole future distribution of returns of the relevant portfolio which is demonstrated to be more powerful than typical backtesting approaches.
UBS found no advantage in quantum computing – ex data chief
Swiss bank tested various use cases in the trading business before giving up on the technology
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure