Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
Budget reallocation may not be the only factor stalling standardisation progress, say participants
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…
Dark pool aims to match algo orders among its 30 buy-side clients
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Risk Awards 2021: diligent approach to risk management brings new clients to UK bank
Risk Awards 2021: Palm Beach bubble allowed the firm to maintain crucial roles during March panic
Risk Awards 2021: long dollar inventory and global forwards e-book helped clients navigate March crisis
Trade mismatches and other wrinkles hinder clearing between executing broker and prime broker
Asia Risk 25: Code’s creators considering updates to sections on last look and pre-hedging
Asia Risk 25: Bond futures and credit default swaps the missing pieces
Access to key FX rates due to be decided six months before potential cut-off
In this paper, we introduce two mixing fractions that can be controlled separately to apply impact to the volatility-of-volatility and the correlation in a lognormal LSV model.
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
BIS study raised concerns; standards now a work in progress at GFXC
Technologists working to automate indications of interest from trading desks
FX settlement giant not fast on its feet, say dealers and challengers, but hard to knock down
GFXC to meet this week about revising global FX code, which may influence European legislator stance
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler
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.
Algorithms reducing fixing fees, but some dealers willing to go even lower – perhaps dangerously so