Market risk
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA
FVA hedge omission from FRTB set to cause headaches
Lack of carve-out for market risk hedges could create hedging issues, experts say
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
How long should TWAP algos run?
BestX says modelling typical durations by notional per pair could be used to create a new algo benchmark
Passive algos and patient traders
Are all passive fills worth having? XTX’s Matt Clarke says not
CFTC urged to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
Asia’s FX markets step to the algorithm
Buy-side use of automated trading programs builds, albeit from a low base
Avoiding market impact – it takes two
Dealer hedging practices have a big part to play in quiet execution, but so does client behaviour, writes UBS's Ciara Quinlan
In choppy FX markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
Comparing apples and apples
With clients expecting more transparency, it is vital for firms to be in control of costs. The key is determining the true all-in price of execution
FXCM to stop offering Hong Kong dollar on February 26
Mindful of last year's SNB shock, the US broker decides to stop quoting HKD amid fears over peg
Diversify more and expect less in the second half of 2015
JP Morgan Asset Management sees more price swings and increased instability ahead
CME price limits caught out by Swiss franc surge
Exchange bins month-old rule after it leads to huge spot-futures basis
Buy side prepares for fixed-income storm
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
Corporates assess their hedging options
Ben Nicklin, FX structurer at Royal Bank of Scotland in London, looks at the rise of option-owning corporate hedging strategies
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
Dealers target hedging activity in the Philippines
MANILA – While authorities in the West increase derivatives regulation, the Bangko Sentral ng Pilipinas has liberalised rules governing both hedging and yield enhancement markets in the past few years. Despite the challenges of penetrating a market…
An imbalanced proposition
At the time of going to press, decisions on the future of the foreign exchange markets was still hanging in the balance, as regulators in the US debated the inclusion of forex swaps and forwards into the over-the-counter derivatives reforms.