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.
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
Seesawing markets prompt speculation of big losses for structured product issuers
Activity in interbank forex set to exceed levels seen after UK referendum and Swiss franc shock
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Market and regulatory pressure is driving product innovation from insurers
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The Authors introduce a closed-form approximation for the forward implied volatilities.
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Bids to use bigger datasets give no better loss forecasts, says hedge fund
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Few funds have tracking-error constraints, says risk institute
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.