Peter Niculescu — Quantitative Analysis | Greeks | Vega | Gamma

Beware the Snap-down

The inverted yield curve upended several banks. What will the inevitable snap-down do?

The US Treasury yield curve has now been more inverted for longer than at any time since at least the early 1980s, or when measured proportionately, for even longer. The US is now one of 36 countries with inverted yield curves, as central banks globally fight inflation. It is often said that inverted yield curves predict recession, but in fact they predict (with confidence) falling rates. Sometimes, falling rates are associated with recession, but that need not always be the case.

Naomi NieJune 28, 2023Peter Niculescu, Snap-down, Inverted yield curve

Using the VIX to Distinguish between Transitory and Persistent Risk

The volatility of the VIX Index has at times caused the impression that it is less than reliable as an indicator of risk. VIX futures and the volatility surface provide clearer information about the market perception of risk and should be used in conjunction with the VIX Index. The different movements of the VIX Index, VIX futures and of the volatility surface historically fall into four major categories that can be useful in understanding the level and length of equity market risk perceived in the options market.

Naomi NieAugust 3, 2022Peter Niculescu, vix, volatility, Lehman, crisis

Take a Close Look at Your Stress Test Assumptions: Implied Volatility is Up in Most Asset Classes (VIX, MOVE, FX)

With supply chain pressures, inflation, a possible recession, and a war, it is not surprising that options prices and implied volatility are up. It's like déjà vu all over again. As senior practitioners at Capital Market Risk Advisors (CMRA) with more than 30 years’ experience each, we’ve seen this movie before. Those who don’t learn from history are forced to repeat it.

Naomi NieMay 16, 2022stress testing, Peter Niculescu, Leslie Rahl, VaR

Dr. Peter Niculescu to speak on lessons learned for quants and risk managers at The Quant Conference Digital

We are pleased to announce that Peter Niculescu, partner of CMRA, has been invited as a keynote speaker at The Quant Conference Digital on November 6th, 2020. The Quant Conference is one of the largest quant conferences engaging the foremost thought leaders from finance and academia to discuss the future of the quantitative finance industry. The Quant Conference Digital is the first visual event and covers topics including “Legends of The Industry on The Role of AI in The Future of Investment Management", a keynote on "Risk manager versus virus", a panel on "The Age of Quant: Persistent Returns or Never-Ending Arms Race?" and much more.

Naomi NieNovember 4, 2020TheQuantConference, quantitativefinance, VaR, stress testing, Peter Niculescu

Risk Management Lessons Learned in 2020 Covid Crisis

Every crisis is an opportunity to learn and grow. Although history does not necessarily repeat itself, risk management flaws and weaknesses often do. To avoid making the same mistakes again, it is useful to reflect on lessons learned and in many cases re-learned.

To that end, we have conducted a survey of a select group of risk management professionals to tease out their reactions and conclusions to the events of 2020.

Naomi NieSeptember 9, 2020crisis, stress testing, model validation, liquidity, Peter Niculescu

CMRA's Expert Analysis and Testimony Instrumental in Carlyle's $2bln Litigation Victory in Guernsey Court

The expert analysis and testimony prepared by Capital Market Risk Advisors (CMRA) - a leading risk management, risk governance, and litigation support boutique for the past 25 years - was extensively cited in a 524-page judgement dismissing all 187 claims, with almost $2 billion in alleged damages at stake, against Carlyle Capital Corporation Ltd's directors in a case involving leveraged RMBS.

Naomi NieSeptember 11, 2017Fannie Mae, Freddie Mac, RMBS, CCC, Peter Niculescu, Leverage, Agency MBSComment

CMRA Commentary