Volatility
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
Esma renews Mifid pursuit of energy firms amid crisis
Utility companies worry about high and volatile capital requirements if they are caught under IFR
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
The post-trade patch‑up: revamping processes in volatile times
A Risk.net Rapid Read survey report: how efficiency in post-trade services at financial firms influences risk management, and how it is expected to evolve
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic