Foreign exchange
FX options volumes surged last week amid market panic
USD/JPY options traded volumes highest since at least the start of 2018
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Treasurers turn to AI in bid for sharper forecasting
Wider automation could usher in future of ‘hands-free hedging’, but obstacles lurk in data standards and sharing
Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy
In this paper, the authors show the connection between equities and foreign exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading…
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Ion’s Broadway deal leaves banks in a bind
Barclays and Nomura among banks that had moved from Ion to rival it now controls
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
The market generator
A generative neural network is proposed to create synthetic datasets that mantain the statistical properties of the original dataset
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Review of 2019: shaken, not stirred
The market survived a cocktail of hits. But is a hangover on the way?
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Currency risk in foreign currency accounts for small and medium-sized businesses
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
Buy side still not adopting global forex code – Debelle
Forex committee wants asset managers to embrace standards; shifts focus to algo trading
Foreign exchange prime broker of the year: HSBC
Risk Awards 2020: UK bank manages risk in real time, while building tool to cut exposures up to 80%
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Sovereign risk manager of the year: Senegal’s Ministry of Finance and Budget
Risk Awards 2020: ADB guarantee cuts swap costs by 500bp, opening the door for a $1.4b forex hedge
Currency derivatives house of the year: BNP Paribas
Risk Awards 2020: Bank seeks spot market insights to bolster forex options trading