Hedging
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Podcast: Horvath and Lee on market generator models
Quants explain the application of the latest techniques
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Dealers turn to mid-cap and EM deal-contingent trades
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
All aboard for LNG freight derivatives?
Tools to manage LNG freight risk were developed last year, but how is the market responding?
Treasurers turn to AI in bid for sharper forecasting
Wider automation could usher in future of ‘hands-free hedging’, but obstacles lurk in data standards and sharing
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Scotiabank takes C$116m XVA charge
Introduction of centralised valuation platform altered fair value of uncollateralised positions
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
How Onyx came from nowhere to conquer oil swaps
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations
Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
Bank disruptors: BofA’s ‘citizen devs’ take on innovation mantle
Central data and technology group enables frontline ‘citizen developers’
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Currency risk in foreign currency accounts for small and medium-sized businesses
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.