Volatility
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Scaling by the square-root-of-time rule: an empirical investigation using five market indexes
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
Trump victory boosts FX volumes and uncertainty
Activity in interbank forex set to exceed levels seen after UK referendum and Swiss franc shock
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Move to vol-controlled funds adds new complexities for VA
Market and regulatory pressure is driving product innovation from insurers
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
The effect of market conditions on forward-looking portfolio performance
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The forward smile in local–stochastic volatility models
The Authors introduce a closed-form approximation for the forward implied volatilities.
Commodity volatility increases need for risk management
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Intraday data does not improve daily VAR, research suggests
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Investors overlooking smart beta tracking errors, say experts
Few funds have tracking-error constraints, says risk institute
Wavelet decomposition and applied portfolio management
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Performance versus turnover: a story by 4000 alphas
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets
B-spline techniques for volatility modeling
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Overcrowding puts low volatility indexes under pressure
Inflows increasing correlations and reducing performance, say traders
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.