Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Quants explain the application of the latest techniques
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
Popularity of short sterling futures takes shine off Sonia’s RFR succession
Bulk of trades are being executed over screen, but bolder changes have stalled
Notionals to which CCPs were counterparty increased +85%
Tools to manage LNG freight risk were developed last year, but how is the market responding?
Wider automation could usher in future of ‘hands-free hedging’, but obstacles lurk in data standards and sharing
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Beyond central bank policy, traders see a range of hidden structural factors at work
Introduction of centralised valuation platform altered fair value of uncollateralised positions
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…
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Credit loss amounts rocket on rate and currency fluctuations
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…
Central data and technology group enables frontline ‘citizen developers’
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
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
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.