Currency options
Blossoming interest
Foreign exchange derivatives trading levels suffered declines this year as hedge funds and other players partly stepped back from the market. But the asset class remains liquid and is attracting a new breed of market participants. Hardeep Dhillon reports
KO-ed in Korea
Derivatives litigation has reached a new level in South Korea, where early court rulings on corporate currency options positions went against financial institutions and threatened the legal enforceability of derivatives contracts in the country. A change…
Ringfencing and contract enforceability challenges
Regulation radar Korea
Indian corporates hit again
Foreign exchange
Smiling hybrids
Vladimir Piterbarg develops a multi-currency model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular power-reverse dual-currency swaps. The emphasis of the article is on model calibration to…
Australian regulatory body to investigate risk management controls at NAB
The Australia Prudential Regulatory Authority (APRA) is launching an investigation into the risk management controls at National Australia Bank's (NAB) treasury division.
Selling risk at a premium
Option strategies