Foreign exchange
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008
Currencies flow market-maker of the year: Citadel Securities
Risk Awards 2019: Credit innovation opens up market-making to previously out-of-reach customers
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Exchange of the year/exchange innovation of the year: CME Group
Risk Awards 2019: FX Link, SOFR futures and Nex acquisition headline banner year for Chicago bourse
Streaming liquidity provider of the year: XTX Markets
Risk Awards 2019: Non-bank market-maker doubles direct relationship presence in forex
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Industry fears EU ‘Google tax’ will hit trading venues, CCPs
Broad wording of digital services tax could place market infrastructure in firing line
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Asia moves: SFC names new chairman, LCH hires regional head, and more
Latest job changes across industry
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Japanese corporates boost forex hedging
Notionals traded highest since end-2012
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws