Volatility
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The authors use data from during the Covid-19 pandemic to investigate the impact of investor sentiment on equity market volatility, finding negative news to have a stronger impact that positive news of the same magnitude.
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Examining sustainability investments and financial performance of football clubs: an empirical analysis
The authors investigate how sustainability investments, financial leverage and growth rates impact the stock rate returns of football clubs.
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Turbocharging tech for next-level risk analytics
As regulatory demands and market conditions constantly change, investing in robust risk analytics is becoming not only a business necessity, but an essential compliance requirement
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
‘Fear gauge’ within expectations, some say
Several options specialists dismiss claims that structured products are distorting the Vix
Brazil readies long-dated FX hedging scheme for green projects
Development bank IDB will lend its credit rating to unlock cheaper USD/BRL hedges out to 25 years
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Adapting buy-side risk management strategies for complex market dynamics
Luke Armstrong from S&P Global Market Intelligence, Thomas Sheedy from Invesco and Julien Cuisinier from Artemis Fund Management explore the challenges and adaptive strategies shaping the evolving field of buy-side risk management
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures