Banks forced to consider link between risks and macroeconomic factors
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Brevan exec says market risk capital rules could force buy side out of certain trades
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Some model-driven investors see signs of crowding in short volatility trades
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
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.
Rising index likely to trigger increased volatility, say dealers
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.
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