Hedging
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
‘Imperfect hedge’ magnified equities slump at BNPP
US index loss, dislocations and weak demand produce worst equity trading results in a decade
On hedging, BP and Shell set different timelines
Shell has much larger share of derivatives classified as current than BP
Fundamentals fuelling smart beta in China
As Chinese equity markets mature and become increasingly driven by fundamentals, the time is right for international investors to invest in smart beta strategies, say Vincent Yam, head of trading, and Weiwei Wang, senior derivatives trader at Guotai…
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Lobbyists seek eleventh-hour Brexit relief for UK futures
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
The funhouse mirror of CLO equity hedges
CLO equity cannot be directly hedged, so people are buying approximations and hoping for the best
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Hedging of options in the presence of jump clustering
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Let exchanges set position limits – CFTC commissioners
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
Balance-sheet interest rate risk: a weighted Lp approach
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…