Currency
Currency risk in foreign currency accounts for small and medium-sized businesses
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
Currency derivatives house of the year: BNP Paribas
Risk Awards 2020: Bank seeks spot market insights to bolster forex options trading
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Firms favour swaps over spot when trading FX – BIS
Forex swaps account for 49% of global average daily turnover in April
Asia Risk Awards 2019: The winners
The best of the best in Asia
RMB house of the year: Deutsche Bank
Asia Risk Awards 2019
House of the year, Indonesia: CIMB Niaga
Asia Risk Awards 2019
House of the year, Vietnam: Techcombank
Asia Risk Awards 2019
House of the year, Malaysia: CIMB
Asia Risk Awards 2019
Esma probes blurry line between FX vendors and venues
Forex liquidity aggregators resemble trading platforms – but are not regulated as such, critics charge
Forex ‘last look’: how non-banks stack up
Research shows patchy disclosures, plus differences from banks on pre-hedging and rejected orders
Quant Lipton pans Facebook’s Libra
Former Bank of America exec sees more potential in rival projects, such as utility settlement coin
Debelle swings at ‘buyer beware’ disclosures in FX
“They don’t give you free licence to do whatever you want,” says new GFXC chair
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
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…