Volatility
New Kospi volatility futures register low volumes
South Korea becomes fifth Asia country to launch volatility futures
Commodity leveraged ETFs: Tracking errors, volatility decay and trading strategies
Tracking performance of ETFs is examined, with a focus on volatility decay
Oil price fall spurs interest in trading, says panel
Volatility seen as positive for financial traders, including banks
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Cutting edge: Incorporating forex volatility into commodity spread option pricing
Spread option pricing: importance of forex risk factors illustrated
Volatility and correlation: the missing link
Research decouples risk components
Low yields and low volatility a growing bubble
Fed-sponsored low rate environment a ticking time bomb
Investors look to profit from record low equity volatility
Hedge funds holding their nerve in game of volatility limbo
Asset quality trumps hedging cost in volatile currencies
Correlation of currency and underlying asset militates against hedging
Index innovation of the year
Index innovation of the year, S&P Dow Jones Indices
Volatility suppression eases fears of emerging markets contagion
EM volatility remains contained – for now
Emerging markets volatility lucrative for discerning investors
Lucrative volatility
Cutting edge: Modelling dependence of price spikes in Australian electricity markets
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderounmu and Rodney Wolff outline, these spikes are hard to…
Bank risk manager of the year: Deutsche Bank
Bank risk manager of the year: Deutsche Bank
Volatility indexes are poor hedge against tail risks, say managers
Systematic indexes become expensive "just when you need them", portfolio manager
Volatility products within family office portfolio: keep it simple or minimise risk in other ways?
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
CBOE adds short-term version of Vix to volatility suite
The new index, VXST, measures market expectations of S&P 500 volatility nine days into the future, rendering it more sensitive to short-term volatility swings than the Vix
Vix options of limited use in hedging Asia portfolio tail risk
Misunderstanding of the correlation between global levels of volatility leading Asian investors to place too much faith in Vix, according to Edhec Risk Institute
Dealers split on market-making constraints - Risk survey
Just over half of dealer respondents to a Risk survey believe post-crisis rules are constraining their ability to make markets
Critics assail industry-sponsored study on HFT
Critics say industry-sponsored study into impact of high-frequency trading in futures markets is flawed
Solvency II extrapolation proposals feed volality debate
The European Insurance and Occupational Pensions Authority’s report on the long-term guarantees assessment has reignited the debate on the methodology for determining the risk-fee term structure. The authority’s proposals for a long extrapolation period…