Arbitrage
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Hong Kong warrants: this time it’s different
With their rise in popularity, warrant issuers must be on their guard at all times
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Warrants issuers battle algo predators in Hong Kong
Threat of high-frequency traders forces banks to spend big on tech
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
US branches of foreign banks shed $91 billion of reserves in 2018
Drop-off coincides with Fed’s ‘normalisation’ strategy
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Base metals house of the year, Asia: BOCI
Energy Risk Asia awards, 2018: Chinese expertise enables BOCI to attract base metals business in Asia and beyond
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Best specialist sub-$250m FoHF over 15 years: Culross Arbitrage Fund (Culross Global Investment Management)
Imperfect markets create opportunities for Culross, played out through different themes
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Finite difference techniques for arbitrage-free SABR
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.