Volatility
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Rising star in quant finance: Milena Vuletić
Risk Awards 2025: Machine learning-based volatility model confounds sceptics
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Yield curve chronicles: mastering fixed income in volatile markets
A series of four podcasts that examines fixed income investment strategies against a backdrop of economic uncertainty, potential rate cuts and market volatility
Risk and return: volatility strategies for uncertain times
As the pace of change accelerates, financial firms must consider how to adapt their volatility strategies to maximise opportunities and manage risk. This webinar explores the latest trends and tactics, offering insights from leading practitioners
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Revolutionising credit surveillance: part one
Early warning indicators for credit risk changes are key, especially during high market volatility. Some of these indicators rely on security prices as the primary driver; however, the volatility of market prices may cause the early warnings to be active…
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue