Foreign exchange
Banks and prop shops expect more trading tie-ups
Risk Live: White-labelling a new battleground, with Barclays, BNP, Citadel and Jump touting price streams
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
CVA wrong-way risk: calibration using a quanto CDS basis
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Forex prime brokerage fee jump unlikely, say dealers
HSBC and NatWest say client charges unlikely to rise significantly despite new margin costs
Crédit Agricole’s head of forex options departs
Andrew Soper leaves French bank to pursue other opportunities
Asset managers urged to sign global forex code
Firms risk hit to reputation by not committing to standards on market practice, investor says
Industry should work together on operational resilience – BoE
Regulator to “shortly” issue report highlighting opportunities for op risk collaboration
New applications in Asia’s financial crime analytics
Financial crime is a fast-growing problem for Asia‑Pacific financial services firms. Working with outmoded systems and patched-up processes to detect, monitor and eliminate potential threats, banks are spending millions on sophisticated new solutions to…
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
UK public sector offloads swaps
Gross derivatives outstanding with public entities stood at £5.9 billion in Q1
Citi scrape could change FXPB skyline
FXPB business is in the throes of profound changes – and CCPs could benefit
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Digital forex, GDPR and US structured products
The week on Risk.net, April 20–26, 2019
Digital forex settlement volume tipped to rise tenfold
DLT platform aims to settle $100 billion of currency trades by year-end
UK public sector loads up on interest rate swaps
Outstanding derivatives values double in last quarter of 2018