Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.
In this paper, the authors give a preprocessing step for Fourier methods that involves projecting the Green’s function onto the set of linear basis functions.
As the end of the 90-day truce in US-China trade hostilities looms, commodity markets brace for uncertainty
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Open interest in Vix futures ended year 44% down from January peak
Requirements connected to equity positions jumped 49% quarter-on-quarter
New accounting standard helps manage mark-to-market volatility of long-term trades
Elevated VAR levels and a temporary increase in the incremental risk charge, drove the market RWA increase
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
In this paper, the authors provide theoretical and empirical evidence of the contribution of second-order risk to realized volatility for alternative risk parity strategies.
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
In this paper, the author describes a simple adaptive Filon method that performs better and more accurately than various popular alternatives for pricing options under the Heston model.
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility