S&P 500
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Tail-risk mitigation with managed volatility strategies
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
Beta hedging: performance measures, momentum weighting and rebalancing effects
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
Dilated convolutional neural networks for time series forecasting
In this paper, the authors present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture.
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Deal of the year: Credit Suisse
Addition of knock-outs to corridor variance swaps keeps investors happy and helps with risk recycling
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Where the smart money is
Sponsored Q&A: Jane Street, Societe Generale CIB, WisdomTree Europe
Smart beta evolves
Commanding the ground between active and passive strategies, smart beta looks set for expansion
Totally skewed: US annuity hedges magnify S&P volatility
Dealer hedging of popular retirement products affecting index greeks, say traders
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
FVC retrospective: RBS income product delivers on rising US market
Investors get 8% coupon as underlying index maintains year-on-year growth
FVC review: HSBC offers exposure to S&P 500 smart beta strategy
Product aims to improve on PowerShares S&P 500 Low Volatility Portfolio ETF using risk reduction