Currency risk
‘Flawed’ standard formula currency risk calibration needs revision...
Current specification is ‘counter-intuitive’, say industry experts
Amundi offers currency hedged Japan equity fund; iShares offers physical corporate bond exposure; Ossiam adds to minimum variance; State Street brings S&P low vol ETF to Europe
Increasing levels of trade between Africa and China have driven the emergence of an increasingly active RMB derivatives market
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How banks needs to consider their IT infrastructure
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More Currency risk articles
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Targeting currency risks
Solvency II is expected to impose a specific capital charge on currency mismatches between assets and liabilities for European insurers and re-insurers, bringing currency risk under the regulatory spotlight for the first time. Although forex managers...
Sponsored feature: BNY Mellon
It looks like low interest rates are here to stay for some time. Insurance companies need to work out how to place their money and how to diversify, because there is little yield to be had at the front end of the curve. How investors can play a more active...
Australian super funds look to cross-currency basis swaps
With an average unhedged currency exposure of 17% of assets under management, Australian superannuation funds face the risk of significant performance drag from global foreign exchange volatility. The cross-currency basis swap market, however, has created...
Indian corporates struggle with FCCB redemptions
Many Indian issuers of foreign currency convertible bonds maturing this year face defaulting on the debt after depressed equity prices force the companies to redeem rather than convert the bonds to equity
Dealers count cost of Santander's Brazilian real hedges
Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan
Greek reversion to drachma easier than euro conversion, say analysts
If Greece were to leave the eurozone it would have to establish a new currency in record time; analysts explain how the process would be simpler today due to technological advances
Using market and credit risk analytics to strengthen performance
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