Volatility
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
QIS offering and defensive strategies on the Raven indexes
After the quantitative investment strategies (QIS) sector saw big drawdowns in assets under management during 2020, Bank of America saw an opportunity to build out its QIS offering and defensive strategies based on over-the-counter rate volatility…
Turbulent markets put focus on evaluated pricing
Jayme Fagas, global head of valuations and transparency services at Refinitiv, explores why, in such an environment, firms need to have the right evaluated pricing to ensure they are pricing their portfolios at fair value levels and complying with…
As geopolitical risk spikes, a major index gets a revamp
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Market efficiency and volatility within and across cryptocurrency benchmark indexes
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
Client margin at Credit Suisse hit a new low in February
Latest CFTC data shows significant reductions of required funds for swaps and F&O at the bank’s US clearing unit
Required margin by FCMs hit all-time high
JP Morgan reported the largest monthly increase across the 48 reporting firms
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Aon chief executive Greg Case: resilience protects, but it also promotes growth
As chief executive of a company whose raison d’être is helping firms make better decisions, Greg Case has wide-ranging knowledge and a nuanced perspective to share on resilience and its importance in volatile times
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say