In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
A known flaw in conventional risk models is becoming hard to ignore in current markets
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
High volatility and noisy data sets have profound implications on risk management in commodity markets
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Inflows increasing correlations and reducing performance, say traders
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Sponsored feature: Deutsche Börse
Falling rand and concerns over US rates contribute to difficult year for banks
Commerzbank tops Deutsches Risk rankings for second year in a row
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Bonnefous defends investment in commodities amid market turbulence
Official post-mortem considers claims that options hedging amplified October 15 move
Draft report urges regulators to consider impact of FRTB and FTT on markets
Sponsored feature: Commerzbank
Industry leader Vincent Kaminski discusses the challenges faced by energy markets and his new book, Managing Energy Price Risk, 4th Edition.
Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
Bank’s fluid approach to risk recycling allows tighter pricing than slower rivals
Buffett's warning on perils of volatility is well justified, argues Kaminski