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Why FRTB model test loves volatility, but hates hedges

Posted by Tristan RadtkeMarketing & DevelopmentFRTB, hates, hedges, loves, Model, test, VolatilityPosted on July 13, 2022

Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged

Geopolitics, volatility and transformation: the top trading and intraday risk management concerns

Posted by Enrique FitzgeraldMarketing & DevelopmentGeopolitics, management concerns, risk, the top, trading and intraday, transformation, VolatilityPosted on June 20, 2022

At a recent webinar held by ICE and Asia Risk, experts discussed how they are dealing with unprecedented global events …

Deep hedging strays when volatility gets rough – study

Posted by William WesselMarketing & DevelopmentDeep, Gets, hedging, rough, strays, study, VolatilityPosted on March 16, 2021

In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging

Eurex passes volatility test with flying colours

Posted by William RobinsonMarketing & DevelopmentEurex, flying colours, Passes, test, VolatilityPosted on August 9, 2020

Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved …

A new arbitrage-free parametric volatility surface

Posted by Maria JacksonMarketing & Developmentarbitragefree, parametric, surface, VolatilityPosted on July 25, 2020

A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced

Lessons from the past – Utilising historical data and technology to assess market volatility

Posted by Michael StoneMarketing & DevelopmentAssess, Data, From, historical, Lessons, Market, past, Technology, Utilising, VolatilityPosted on June 7, 2020

Volatility And Day Trading

Posted by Leonard ThomasMarketing & DevelopmentTrading, VolatilityPosted on April 11, 2020

Volatility And Day Trading Volatility Is The Key To Day Trading Effective day trading calls for the capability to detect …

Rate volatility highlights benchmark flaws

Posted by Christine MillerMarketing & Developmentbenchmark, flaws, highlights, Rate, VolatilityPosted on March 26, 2020

Libor and SOFR in spotlight following market rout, as both decouple from commercial paper

Volatility And Day Trading

Posted by Shirley HernandezMarketing & DevelopmentTrading, VolatilityPosted on February 21, 2020

Volatility And Day Trading Volatility Is The Key To Day Trading Effective day trading calls for the capability to find …

Volatility And Day Trading

Posted by Leonard PicklesimerBusiness NewsTrading, VolatilityPosted on February 20, 2020

Volatility And Day Trading Volatility Is The Key To Day Trading Effective day trading calls for the capability to find …