Equities
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Calculating fair valuations for securities – The underlying complexities of trading fixed income
While some things have changed significantly over the past two decades across the capital markets, others have ostensibly remained the same. Take, for example, the challenge facing capital markets firms when calculating fair valuations for the securities…
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
The UK’s path to EU equivalence: détente or detour?
Race to meet post-Brexit cross-border trading requirements will go down to the wire
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Exploring new investment prospects in volatile markets
Custom and traditional proprietary indexes have been growing in popularity and actively transforming the investment landscape. Financial products linked to indexes are thriving, enabling more efficient access to the market, whether it is equity, bonds or…
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Equity gains bolster EU hedge funds’ portfolios
Funds were net sellers of equities, but market gains added +10% to balance sheet values
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Yield-hungry investors shirk bail-in bond buffet
Banks fear the buy-side’s appetite for MREL debt is on the wane
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck