Emerging markets
Three Asian FX fixings threatened by benchmark rules
European regulations would block use of fixings that account for 40% of LCH NDF volumes
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Loans to offshore centres surge
Total claims surpass pre-crisis peak
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
New historical bootstrap value-at-risk model
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
Asian banks cry foul over FRTB’s currency risk weights
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head
US banks fear margin rules could hit emerging Asia liquidity
Unequal margining requirements may be a turn-off for local counterparties
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Fixed-income investing: The new world order
Sponsored feature: Lombard Odier Investment Managers and ETF Securities
FRTB data standards seen as threat to emerging markets
Need for 'real' prices will limit use of models, increasing capital burden
FVC review: Morgan Stanley launches four-year EM-linked contract
High payout balanced by small buffer offers bullish investors considerable return potential
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
Avoiding fraudsters key to Neuberger Berman's China fund
Not uncommon to find companies fabricating accounting statements in China
Banks' NDF withdrawal hits emerging markets currency trading
Banks pull back from warehousing risk ahead of Volcker rule completion
Emerging markets domestic focus rewards Aperios
But fund not envisaged to grow larger than $500 million
Risk manager of the year (sovereign): Mexico’s Ministry of Finance and Public Credit
Oil hedging stabilises Mexican state finances amid price crash
Horizon Software: coping with the compliance burden
Firm’s head of electronic trading says EU regulation choking options market liquidity
CME looks to local banks for FX liquidity in emerging markets
Chicago-based exchange targets China, India and LatAm growth
Exchange trading on the march in emerging market currencies
EM currencies to get the best of the OTC and exchange worlds
Microfinance boom could be bubble, some fear
More lenders are vying for a small pool of creditworthy intermediaries
Strong dollar warning for emerging markets
Investor warn of low forex reserves to short-term external debt ratio