Volatility
Unfinished business: US Treasuries reform stalls
Efforts to improve clearing and settlement of US government debt – and oversight of who trades it – still incomplete
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Cryptocurrencies: king’s ransom or fool’s gold?
Extreme volatility makes products an unreliable store of value – for now
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
House of the year, Hong Kong: Haitong International
Asia Risk Awards 2018
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Direct streaming gains foothold in US Treasuries market
Cost savings drive dealers away from Clob model into alternative venues
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
EC official offers hope to prop traders on capital rules
Official sees problems in draft regulation, says EU council and parliament are discussing them
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
BNPP beats SG on equity trading
Equity and prime services revenues surge 19.3% at BNPP
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.