Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Open interest in options and futures contracts combined dropped 12%
Four-member auction may have turned 39% margin breach into huge default fund loss
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
Expectations grow that a long-awaited Asian gas derivatives market is emerging
A total nine breaches are reported, averaging $14 million
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
Schooling Latter throws scepticism on Libor reform efforts
Latest job changes across the industry
Exchange groups have 30-month exemption from access rules; listed derivatives users concerned it will become permanent
Research into rates pricing is becoming more urgent given recent regulatory changes