Gamma
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Risk managing structured products in a falling market
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
Piecing together the October 15 puzzle
Huge US Treasury swing was result of hedge fund crowding and gamma hedging
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
Euro inflation floors hit three-year low
Traders point to lower volatility, but one big short is also blamed
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Equity derivatives house of the year: Société Générale
Risk awards 2011
Curbing dispersion exposure
Dispersion tactics
A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
A major improvement
In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…
Is there hope in the advanced measurement approaches?
Basel II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basel Committee’s recent operational risk working paper.
Advanced measurement approaches
The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.