Stressed VAR will hit FX options, dealers warn

- Mark Pengelly
- 31 Aug 2012

Basel trading book capital rules are having a punitive impact on certain foreign exchange options and might push up the cost of more exotic trades – particularly in emerging market currencies, dealers say.

The root of the issue is the regulatory capital charge for stressed value-at-risk, introduced for many banks as part of the Basel 2.5 package of reforms at the beginning of the year.

"There should be a market impact from stressed VAR, and it will start filtering through as more and more

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@fx-markets.com or view our subscription options here: https://subscriptions.fx-markets.com

You are currently unable to print this content. Please contact info@fx-markets.com to find out more.

You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.

As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.

If you would like to purchase additional rights please email info@fx-markets.com

You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.

If you would like to purchase additional rights please email info@fx-markets.com