Emily Liu — Commentary on Risk, Derivatives, and Financial Markets

Posts tagged Emily Liu

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.

Peter NiculescuJune 28, 2023Peter Niculescu, Emily Liu, 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.

Peter NiculescuAugust 3, 2022Peter Niculescu, Leslie Rahl, Emily Liu, vix, volatility, crisis

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