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.
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Variance optimal hedging with application to electricity markets
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
Libor transition and implementation – Covering all bases
Sponsored Q&A
A new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity price–volume quanto contracts
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Deal of the year: Deutsche Bank
Asia Risk Awards 2019
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Forex ‘last look’: how non-banks stack up
Research shows patchy disclosures, plus differences from banks on pre-hedging and rejected orders
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion