Volatility
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
Corporates hamstrung in response to FX volatility
Restrictions around hedging programmes leave US firms struggling to adapt to dollar weakness
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
Automated market-making tested by intraday FX vol
Price gaps in spot FX markets could be exacerbated by algos trading on headline risk
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Positive M&A outlook could boost deal contingent hedges
Traders predict hedging activity linked to deal completions will take off this year
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Corporates turn to structured notes to juice cash returns
Dual currency notes find favour with treasurers under pressure to boost yields amid higher rates
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption