This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
Exporters dump forwards; others hedge for the first time
New rule leads to 400bp price hikes as companies hedge renminbi fall
Asian nation takes another step towards renminbi liberalisation
Firms looking to de-risk but the Tarf issue could re-emerge
CNY swaps and forwards can be cleared from November on SCH
FSC to boost investor participation in derivatives but faces industry scepticism
OTC clearing onshore in China will be delayed until at least the end of 2013 or early 2014 according to an official at Shanghai Clearing House
As China relaxes controls on its currency, the yuan is set to become more widely used. However, government control is likely to be maintained. Full convertibility may never happen, says Jim O’Neill
The renminbi appreciation society
Rise of the redback
Conference speakers discuss the changing nature of the foreign exchange market, and agree successful providers in future are likely to be those that can offer a range of niche services rather than those with the highest volumes
Regulating the renminbi
Looking both ways
Deutsche Bank claims to be the first major dealer to offer offshore renminbi on an electronic trading platform, although forex broker EBS says it already offers a hybrid broking service for the offshore Chinese currency. Together, however, the initiatives...
A taste for dim sum
WisdomTree has made its name by offering alternatives to the standard ETF fare, with a suite focused on efficient weighting, access trades and active management. Now it is poised for yet more growth, and expects to start capturing assets previously destined...