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.
Rising cost of CNY forwards and tighter regulation encourage renminbi funding
Currency risk management is now a major focus for Aussie firms
Options portfolios were impossible to delta-hedge, traders say
Risk Awards 2015: French bank thrives on emerging markets and exotic risk
Risk Awards 2015: Bank arranged record margin loan in 30 days
Range accrual and Tarf variants too complex for UK SMEs, critics say
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Returns on dual-currency and structured deposits will not be covered by state insurance scheme, Japanese FSA decides
Asia Risk Awards 2012 winner: UBS – Currency Derivatives House of the Year
Costing stressed VAR
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Forex's unreliable fortunes
Amid a surge in demand for exposure to emerging markets currency debt from private investors, HSBC Private Bank prefers building structured products around Asian assets to emerging Europe
Risk awards 2012
Volatility returned to eurodollar last week, as forex traders priced further downside risk into euro options
Forex clearing will be restricted to non-deliverable forwards as US authorities discuss whether settlement risk can be properly managed for cleared forex options, according to speakers at the FX Week Asia conference in Singapore
Currency-linked structures likely to become more popular in Hong Kong with retail investors. But take-up of volatility products is still muted despite erratic markets due to concerns about complexity, panellists say
The Clearing Corporation of India is already well ahead of rivals in Asia when it comes to receiving OTC interest rate derivatives data. It now looks set to become the country’s trade repository for non-rupee currency derivatives, as the clearer moves...
Demand has switched from downside euro/Swiss franc options to upside options in anticipation of further Swiss franc weakening measures from SNB, say senior options traders