Volatility
Finding potential in a volatile commodities market
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
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Range-based volatility forecasting: an extended conditional autoregressive range model
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.
ε-monotone Fourier methods for optimal stochastic control in finance
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.
US-China trade war becomes focus again for commodities
As the end of the 90-day truce in US-China trade hostilities looms, commodity markets brace for uncertainty
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Traders soured on Vix futures in 2018
Open interest in Vix futures ended year 44% down from January peak
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
Deutsche’s market RWAs surge €8bn on volatility spike
Elevated VAR levels and a temporary increase in the incremental risk charge, drove the market RWA increase
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Second-order risk of alternative risk parity strategies
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.
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
An adaptive Filon quadrature for stochastic volatility models
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.
Reducing margin procyclicality at central counterparties
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.