FX-linked structured products have enjoyed a relative boon throughout the financial crisis. Although volatility spiked, it remained lower than other asset classes, and liquidity recovered more quickly by comparison.
This disparity was clear across both developed and emerging markets. In the UK for example, maximum 10 month volatility during the crisis hit 47.21% in the FTSE 100, against only 25.5% in the sterling spot rate. In India, the Rupee's maximum 10 month volatility was 14.36% in May 2009
The week on Risk.net, July 7-13, 2018Receive this by email