Volatility
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
EC official offers hope to prop traders on capital rules
Official sees problems in draft regulation, says EU council and parliament are discussing them
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
BNPP beats SG on equity trading
Equity and prime services revenues surge 19.3% at BNPP
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
BoE creates volatility adjustment ‘stepping stone’ for insurers
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Watch out for commodity vol products
Commodity traders shouldn't ignore the recent meltdown in CBOE’s Vix derivatives, writes energy consultant
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Statistics of VIX futures and their applications to trading volatility exchange-traded products
In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).