Volatility
Yen rise spurs Japanese rates market surge
Traders are moving on an expectation of increased yen volatility in 2025
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Elevating risk management to a strategic partner in investment decision-making
How risk management is evolving from a compliance role to a strategic partner, highlighting such themes as collaboration with portfolio teams, forward-looking approaches, advanced analytics and integrating emerging risks, enabling firms to navigate…
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
FX options market eyes Trump inauguration trades
FX Markets Europe: Traders turn to short-dated plays on cabinet picks and early tariff actions
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Rising star in quant finance: Milena Vuletić
Risk Awards 2025: Machine learning-based volatility model confounds sceptics
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Yield curve chronicles: mastering fixed income in volatile markets
A series of four podcasts that examines fixed income investment strategies against a backdrop of economic uncertainty, potential rate cuts and market volatility
Risk and return: volatility strategies for uncertain times
As the pace of change accelerates, financial firms must consider how to adapt their volatility strategies to maximise opportunities and manage risk. This webinar explores the latest trends and tactics, offering insights from leading practitioners
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market