Foreign exchange
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Banks fear early rollout of EU margin rules for forex forwards
Industry calls on EC to clarify when foreign exchange forwards will be subject to variation margining
New forex conduct code receives overwhelming support
Code covers ethics, governance, information sharing, execution, risk management, confirmation and settlement
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Forex market to adopt global code of conduct by end-Q3
Participants excited about conduct guidance, but say firms' internal behaviour will ultimately create change
A Brexit stress test for the buy side
Markets are betting 2–1 the UK will remain in the EU but securities will tumble if they're wrong
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
People: Three senior forex managers leave Citi
Citi loses three in London office; RBS head of markets departs; Serafini joins Ice; and more
Barclays opens up forex desks to last-look lawsuit
Agreement will help investors pursue other market-makers
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
US dollar/yen basis blows out to –100 on negative rates
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
Voltaire Capital and the prop shop that changed its spots
London-based start-up joins liquidity contest via buyout of Chicago HFT firm
Part fills add to liquidity woes and sharp price moves
Not trading in full amounts makes market-making harder and more expensive for clients, say market participants
Former Citi trader points finger at bank execs at tribunal
McWilliams: alleged offences were "encouraged, condoned, required and rewarded" by management
Single-dealer platform of the year: Citi
Clients praise the US bank's Velocity platform for weathering the Swiss franc storm
Market-makers encouraged to review last look
After $150 million fine for Barclays, more legal action could follow
Personal accountability will be focus in 2016, US ACI head says
Regulators likely to target senior management suspected of neglect
Seeking transparency: The outlook for foreign exchange trading in Asia
Sponsored survey analysis: Thomson Reuters
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Q&A: Taiwan’s finance watchdog on Tarfs and deregulation
Tseng defends FSC’s mix of looser rules and restrictions on derivatives
Italian dealers hope tide will turn after tricky 2015
Risk Italia Rankings 2015