Foreign exchange
Decrypting crypto: explaining the market from an institutional perspective
A white paper series taking an institutional perspective in examining the multiple dynamics of the cryptocurrency space.
Offshore waves: how the ruble is becoming a painful trade
As liquidity dries up in markets affected by sanctions, trading is shifting from electronic venues
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
MSIM holds half of FX options notionals among US funds
Counterparty Radar: Manager tops up on USD/RMB calls to extend lead and helps Goldman into second place among dealers
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
JP, Goldman and TD surge in FX forwards as Citi falls back
Counterparty Radar: Citi drops to fifth, losing a third of market share with US mutual funds
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
‘Broken’ euro FX options market facing liquidity concerns
Traders worry about market depth as surge in put buying sees risk reversals hit extremes
Estimating value-at-risk using quantile regression and implied volatilities
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
Building artificial intelligence in credit risk: a commercial lending perspective
This white paper provides a contemporary look at what AI and machine learning adoption could mean for commercial lending and credit risk assessments
New GFXC chair aims to keep up reform on last look
SNB’s Andrea Maechler urges more liquidity providers and trading venues to address hold times
Traders turn to ruble NDFs to avoid sanctions trouble
Basis between physical and non-deliverable trades hits record high as users shun local currency
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Can Clobs level the playing field in OTC FX options?
Electronification could be a “game changer” for smaller liquidity providers, say participants
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
TS Imagine: leading the way in risk and margin management
If the past two years have taught prime brokers anything, it’s that those with real-time risk and margin management tools at their fingertips have a competitive edge and staying power. Award-winning software platform TS Imagine offers prime brokers the…
The case for trade surveillance in FX and fixed-income markets
A central bank’s role is to provide its nation’s currency with price stability by controlling inflation and achieving steady GDP growth
Asia moves: Trio of senior hires at Wells Fargo and Haitong International, and more
Latest job news across the industry