Volatility
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
Next Generation ETD: a future-proof concept
In June, the infrastructure for Eurex’s next generation of exchange-traded derivatives (ETD) contracts went live. The concept meets changing market demand and is implemented across Eurex’s entire value chain, allowing more flexibility in the design of…
Degree of influence 2022: In the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
Critical divergence in prices between Spikes and Vix after the Fed’s rate hike
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
CME eyes retail growth with new weekly FX options
Exchange hopes to capture massive demand from the sector
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Equities clearing and CCP resilience: protecting post-trade from geopolitical turmoil
Headline-making events in 2022 have driven market volatility with sustained increases in trading and clearing volumes. With market participants under pressure, how do central counterparty (CCP) resilience and innovation in equities clearing provide…
Enhanced expected impact cost model under abnormally high volatility
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Who blew up gas prices? (It wasn’t just Russia)
Government buying, climate risk and short squeezes may have led to ‘horrendous’ gas market margin calls
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
Forecasting the realized volatility of stock markets with financial stress
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived