Volatility
CCAR helps identify op risks, banking experts say
Banks forced to consider link between risks and macroeconomic factors
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Lessons from the Mortician: volatility modulation
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
FRTB threatens popular hedge fund strategies
Brevan exec says market risk capital rules could force buy side out of certain trades
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Are the GIPS sovereign debt markets efficient during a crisis?
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises
Time-varying beta and the global financial crisis: evidence from Chinese and Indian firms
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
A pairs trading strategy based on switching-regime volatility for commodity futures
A pairs trading strategy can give a larger Sharpe ratio with respect to classical methods
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Scaling by the square-root-of-time rule: an empirical investigation using five market indexes
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
Trump victory boosts FX volumes and uncertainty
Activity in interbank forex set to exceed levels seen after UK referendum and Swiss franc shock
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Move to vol-controlled funds adds new complexities for VA
Market and regulatory pressure is driving product innovation from insurers
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
The effect of market conditions on forward-looking portfolio performance
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The forward smile in local–stochastic volatility models
The Authors introduce a closed-form approximation for the forward implied volatilities.
Commodity volatility increases need for risk management
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Intraday data does not improve daily VAR, research suggests
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum