Volatility
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Yield curve chronicles: mastering fixed income in volatile markets
A series of four podcasts that examines fixed income investment strategies against a backdrop of economic uncertainty, potential rate cuts and market volatility
Risk and return: volatility strategies for uncertain times
As the pace of change accelerates, financial firms must consider how to adapt their volatility strategies to maximise opportunities and manage risk
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Investors back away from vanilla dispersion ahead of US vote
Broader trades and new versions of go-to strategy are proving more popular, say bank QIS teams
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Newton and BofA launch ‘all-weather’ QIS hedging index
Adaptive index sees investment manager toggle between a menu of quant strategies
Revolutionising credit surveillance: part one
Early warning indicators for credit risk changes are key, especially during high market volatility. Some of these indicators rely on security prices as the primary driver; however, the volatility of market prices may cause the early warnings to be active…
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
FX algo users change tack to navigate market doldrums
BestX data finds traders ditching TWAP in favour of more opportunistic execution styles
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining