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…
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Portfolio reshuffling helps Austrian bank contain RWA impact
Latest count puts bank on cusp of capital penalty
Bank incurred regulatory backtesting exceptions amid heightened market volatility
New study shows risk weights too high for US markets, but data from 2008 still missing
Commodity and interest rate risk push average VAR to its highest reading since 2020
Banks’ economic value of equity would shrink under higher rates scenarios
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Price volatility in energy markets behind the largest cash call on record by the CCP
Latest CFTC data shows significant reductions of required funds for swaps and F&O at the bank’s US clearing unit
JP Morgan reported the largest monthly increase across the 48 reporting firms
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
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
Market uncertainty hits liquidity in options on swaps, dealers say
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Federal regulators assess financial spillover from Russian offensive as volatility surges and sanctions bite
SVAR pinned to Covid-19 panic drives latest quarterly increase
Three exceptions recorded in the fourth quarter put the bank one step away from a higher capital requirement