Currency
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
First P2P trade completed on Siege FX
Dark pool aims to match algo orders among its 30 buy-side clients
Currency derivatives house of the year: BNP Paribas
Risk Awards 2021: long dollar inventory and global forwards e-book helped clients navigate March crisis
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Diginex chief on taming the Wild East of cryptocurrencies
Asia Risk 25: Singapore-based digital exchange wants to bring respectability – and regulation – to the sector
Finding the nearest covariance matrix: the foreign exchange market case
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.
Fulcrum hangs ESG designs on honing hard numbers
ESG risks will become part of investment and risk management processes across all funds at the firm
House of the year, Indonesia: CIMB Niaga
Asia Risk Awards 2020
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
Alternative markets give edge to Florin Court strategy
By concentrating on exotic and alternative markets, Florin Court Capital Fund has sidestepped overcrowding and correlation to the main trend following commodity trading advisers, offering investors a diversified alternative to the standard systemic macro…
Fed dollar swap operations slow as funding strains ease
Seven-day swap utilisation has dropped off since May
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Libor Risk Q&A – KPMG
Chris Dias and Chris Long, principals and global Libor solution co-leads, discuss key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and…
RMB hedging comes onshore as regulators liberalise FX market
Foreign investors turn to CNY for bond hedges as rule changes spur more competition
Malaysia has triumphed in FX reforms – but what comes next?
Relinquishing currency controls will be a much harder task
Turkey turmoil opens door to offshore NDF market
Emta invites input on documentation for offshore lira
Inside March madness with Citi’s Tuchman
Interview: Trading rooms went virtual, central banks stepped up – but some platforms flopped
Volatile FX markets reveal pitfalls of RFQ
Clients urged to mask trading intent; critics warn of subtle sell-side advantages
FX traders pull back to vanilla strategies for emerging markets
Spreads tighten on many currency pairs but liquidity still patchy
Too much regulation of spot FX could hurt European markets – MEP
A sub-section in the Markets Abuse Regulation could be sufficient oversight, says Ferber
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today