Volatility
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
IFRS 9/CECL Special Report 2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Flash crash early warning tool launched
Start-up seeks to commercialise controversial VPIN measure
Calibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
An operational risk-based regime-switching model for stock prices
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Comparing multivariate volatility forecasts by direct and indirect approaches
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Initial margin model sensitivity analysis and volatility estimation
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
CCAR helps identify op risks, banking experts say
Banks forced to consider link between risks and macroeconomic factors
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Lessons from the Mortician: volatility modulation
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
FRTB threatens popular hedge fund strategies
Brevan exec says market risk capital rules could force buy side out of certain trades
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Are the GIPS sovereign debt markets efficient during a crisis?
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises