In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Waning power of quant approach could be a reason for trend following’s malaise
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
Credit Suisse quant talks about new paper on valuing quanto options
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
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