Volatility
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
Five US banks hit record leverage exposures
Ballooning balance sheets leave Goldman, Morgan Stanley with razor-thin SLR buffers
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
Goldman, JPM gain ground in FCM race for swaps
Duo boosted share of required customer funds at the expense of Citi and Morgan Stanley in 2023
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Models shed light on opaque private credit markets
Stewart Webster, director of credit and risk at S&P Global Market Intelligence, discusses how his team is providing transparency in this challenging sector of the credit markets.
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
The evolution of trading risk and the return to volatility
Risk managers are grappling with the complexities of today’s financial markets, tackling what seems to be a never-ending stream of crises, exacerbated by surging interest rates and widening credit spreads. In a recent Risk Live North America panel…
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Early warning signals of credit deterioration to save on potential losses
With financial institutions facing market volatility and high interest risks in 2023, the warning signals cannot be overlooked. It is crucial to have access to reliable and timely indicators of credit deterioration to prevent significant losses. This…
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
Risk optimisation and hedge accounting to stabilise regulatory capital
Continual interest rate increases have been reshaping banks’ balance sheets worldwide. With these historic interest rate hikes, regulatory capital has been exposed to volatility driven by flawed hedge accounting programmes or hedges failing effectiveness…
Welcome to a new ecosystem for managing credit risk
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives
BofA’s VAR reels back to pre-pandemic level
Dealer leads large US banks on curtailing market risk
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem