LONDON--RiskMetrics, in conjunction with JP Morgan, has released an implied volatility data set for foreign exchange and precious metals risk analysis. The data is intended for use with Riskmetrics' Datametrics time-series data warehouse application.
The system draws on the Riskmetrics and Creditmetrics data sets and draws information primarily from Reuters, though other sources are also utilised. The data set includes gold and silver historical option prices and historical data on m
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails