Foreign exchange (fx)
Increasing prices on cross-currency swaps as a result of Basel III’s credit value adjustment charge are making it harder for companies to issue bonds overseas – this is just one example of the fragmentation...
Indian firms move away from using forwards in a bid to grab upside benefits of future rupee appreciation
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Foreign exchange (fx) articles
Europe’s debt crisis could get worse, and some firms are looking for tail risk hedges in the foreign exchange market – but even magic bullets can backfire. Mark Pengelly reports
Australian dollar, renminbi and CE3 currencies touted as alternative macro hedges for European debt woes
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered...
Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case for variance swaps. However, in the case of swaps measuring the covariance between the absolute returns...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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