Foreign exchange
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
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Cryptocurrency regulation summary: 2022 edition
An analyst report summarising global regulatory guidelines surrounding the trading and issuing of crypto assets around the world