Hedging
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Japan regulation sparks hunt for new annuity products
Foreign currency products hit by push for transparency on forex risk and charges
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
Energy Risk Awards 2019: The winners
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
CFTC's Berkovitz puts his weight behind position limits
New rule on speculative commodity trades will be proposed within weeks
Korea tightens autocall oversight as local houses take on risk
Regulator sounds warning over $9 billion increase in structured product self-hedging by Korean firms
Natixis's VAR returns to earth after sale of autocallables
Average value-at-risk falls 35% from Q4 2018 high
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
Risk FX Briefing: Event insights
What lies ahead for investment managers
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
FSB says fallbacks should kick in if Libor no longer accurate
Isda plans to consult on what to do if a benchmark is no longer representative of underlying markets
As China bonds go global, dealers size up demand for swaps
China’s onshore derivatives market must grow quickly to meet the hedging needs of foreign investors
Parameter variation and the components of natural gas price volatility
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
Top UK banks cut CVA capital by £190 million
Barclays and StanChart are only two banks with higher CVA capital requirements in 2018
Finding potential in a volatile commodities market
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
Hedging gains boost MetLife earnings
US insurer posts $939 million in net derivatives gains in the fourth quarter
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say