Volatility
Wavelet decomposition and applied portfolio management
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Performance versus turnover: a story by 4000 alphas
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets
B-spline techniques for volatility modeling
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.
Overcrowding puts low volatility indexes under pressure
Inflows increasing correlations and reducing performance, say traders
Downside risk measure performance in the presence of breaks in volatility
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.
Intraday Volatility Forecast for Dax, Euro Stoxx 50 and Euro-Bund
Sponsored feature: Deutsche Börse
Risk South Africa Rankings 2015: The results
Falling rand and concerns over US rates contribute to difficult year for banks
Deutsches Risk Rankings 2015
Commerzbank tops Deutsches Risk rankings for second year in a row
Volatility mispricing ripe source of profits, says Malachite
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Video: Jean-Marc Bonnefous, Tellurian Capital Management
Bonnefous defends investment in commodities amid market turbulence
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
GFMA, IIF, Isda plan liquidity lobbying push
Draft report urges regulators to consider impact of FRTB and FTT on markets
FX volatility – An evolutionary story
Sponsored feature: Commerzbank
Risk Books: Managing Energy Price Risk, 4th Edition
Industry leader Vincent Kaminski discusses the challenges faced by energy markets and his new book, Managing Energy Price Risk, 4th Edition.
Q&A: SNB's Danthine on the Swiss franc and market risk
Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
Risk manager of the year: Credit Suisse
Bank’s fluid approach to risk recycling allows tighter pricing than slower rivals
Practitioners must take risk measures with a pinch of salt
Buffett's warning on perils of volatility is well justified, argues Kaminski