Forex mispricing, Pillar 2 and the volatility trap
The week on Risk.net, February 10-16, 2018
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Volatility trap: how gamma roused a market monster
The rates market is exposed to some of the same factors that caused equity volatility to explode in February
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
COMMENTARY: Worse to come
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