Brazilian real
Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns
This work expands the analysis in Cooper (1999) and Santos and Guerra (2014), and the performance of the nonstructural models in estimating the "true" RNDs was measured through a process that generates "true" RNDs that are closer to reality, due to the…
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
Best in Japan: Societe Generale
Societe Generale wins Structured Products' best in Japan award
EM currency notes finding buyers even after rout
European private bankers say investors are still going long emerging market currencies via structured notes, even after some of the currencies plummeted in value earlier this year
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Japan FSA asks for transparent double-deckers
Double-deckers in for a bumpy ride
Japan FSA tightens fund rules to protect retail investors
Japanese regulator implements new rules to increase transparency of complex fund products such as double-deckers
Currency derivatives house of the year: Barclays Capital
Risk awards 2012
Citi launches onshore real-denominated structured fund
Citi launches onshore real-denominated structured fund
Citi launches onshore Brazilian fund linked to US stocks
Citi fund enables investors in Brazil to explore non-local underlyings while retaining the comfort of an investment in their home currency