In case you missed it the Financial Times Weekend last week in its Letters section it published a comment by a reader that might come as a helping hand for many regulators and watchdogs. At least if they like reading before turning in. Check this out here.
Stock market volatility seems to have increased substantially since the beginning of the year. With this in mind I wanted to draw my attention on specific metrics to gauge the actual extent of what’s been going on since then. The chart below shows FTSE MIB stock index 20-day rolling volatility,
Lately, I was wondering how serious volatility has gotten so far and so decided to update my hall of volatility on the S&P 500. Check the following chart (drawn along a GARCH-estimated-1-day-99% VaR) In case you wonder, at 99% probability only 1% “exceedance” is theoretically expected (using the normal distribution
Are we sure what the Banking Union is? Hypertrophic regulation is what has ensued an ongoing financial crisis since it blew up in the face of market participants and watchdogs. When referring to the Banking Union we think of the founding rules upon which a unified apparatus ranging from capital
Are financial markets efficient at factoring in relevant information? This has been the controversial question for many decades. Behavioral economics has found out that information efficiency is somewhat missing sometimes. Have markets read Italian banks’ financial statements? The late bout in volatility on Italian banks might as well be another
