Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Many funds have lost confidence in traditional ways of measuring political risk
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
Stock market bubbles have seldom burst, says Yale economist
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Risk30 profile: Athanasopoulos sees opportunities to cut hedging costs
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
New approach from OFR relies on separate measures of stress and vulnerability
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Start-up seeks to commercialise controversial VPIN measure
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Verification and model challenges arise as volatility and margins dry up
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
A liquidity model for basket of correlated securities is presented