Hedging
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
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
Top 5 trends to watch in 2022
1. Individual investor initiative 2. ESG investing 3. Hedging China risk 4. Digitisation and cryptocurrency 5. Futurisation
Trends shaping investment in Asia
As several new trends impact investment in Asia, Randolf Roth and Mezhgan Qabool discuss how Eurex is catering to the evolving needs of market participants and what it sees happening next
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Losing their hedge: why so many UK energy suppliers went bust
Hedging strategies were powerless to protect firms from runaway energy price rises
Regulator says Covid has accelerated China’s reform agenda
CSRC vice-chair wants US firms to help develop onshore futures for risk management
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Inflation swap stampede stirs fears of lopsided market
Soaring demand for inflation hedges leaves dealers struggling to balance exposure
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges