Rates market is exposed to some of the same factors that caused equity volatility to explode in February
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
A correlation structure is an important element in pricing products such as correlation swaps
Losses estimated at close to $500 million as US index volatility spikes
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Clearing helps Japanese bank branch out into US single names
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Many funds have lost confidence in traditional ways of measuring political risk
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
Stock market bubbles have seldom burst, says Yale economist
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Risk30 profile: Athanasopoulos sees opportunities to cut hedging costs
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
New approach from OFR relies on separate measures of stress and vulnerability
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Start-up seeks to commercialise controversial VPIN measure
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10