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
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Broadway chief executive Tyler Moeller leads consortium to buy divested fixed income business
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Polls point to a decisive Biden win – though some worry market is being complacent
Group set up after big Citi loss considers limit-checking hub, among other options
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
NatWest, XTX Markets and others develop new outsourcing model for tech
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Regulators and market participants searching for answers after BIS figures show substantial increase