Volatility
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Corporates turn to structured notes to juice cash returns
Dual currency notes find favour with treasurers under pressure to boost yields amid higher rates
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Corporates pressed on FX hedges as dollar surge bites
CFOs increasingly facing tough questions about impact of exchange rates on foreign revenues
Tariff news ‘ping pong’ gives FX options desks a headache
Dealers say Trump’s shifting deadlines sparked weekend trading rush and made it hard to monetise flows
Funds tap options on FX vol amid tariff disruptions
Dealers say vanillas, digitals and knockouts on realised vol increasingly used to navigate Trump news flow
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Corporates eye complex FX hedges as carry costs mount
Leveraged forwards and options-based structures entice treasurers facing rates uncertainty and FX volatility
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Regions Bank swells HTM book to curb AOCI volatility
In strategic shift, bank aims to bolster HTM holdings to 25% of securities portfolio
Yen rise spurs Japanese rates market surge
Traders are moving on an expectation of increased yen volatility in 2025
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
Earnings moves and pre-earnings implied volatility
The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the distribution of returns over earnings windows to be symmetrical.
Strategies for navigating market volatility in the post-US election landscape
Market volatility following the US election, including inflation risks, commodities, geopolitical uncertainty, ESG considerations and the role of advanced analytics in investment strategies
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Elevating risk management to a strategic partner in investment decision-making
How risk management is evolving from a compliance role to a strategic partner
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
FX options market eyes Trump inauguration trades
FX Markets Europe: Traders turn to short-dated plays on cabinet picks and early tariff actions
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options