Equity derivatives
Adapting to economic uncertainty: internal audit’s journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Asia moves: Senior hires at Nomura, HKEX and more
Latest job news from across the industry
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
How MerQube sold Wall Street on open indexing relationships
Four-year-old Silicon Valley firm sees growing role for third parties as indexes become more complex
Fidelity, T Rowe add to sold single-stock call positions
Counterparty Radar: US mutual funds, ETFs shed $2.7 billion in options notional during Q4
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Capitolis chief risk officer to depart
Two months after firm registered as swap dealer, signatory of SEC filing announces retirement
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
Hong Kong’s inline warrants fall from grace
Volumes plunge 97% as rising volatility turns off investors
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
Rising star in quantitative finance: Sigurd Emil Rømer
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models