Futures
Bitcoin futures growth could prompt bank ratings downgrades
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts
Asia moves: Citi expands Treadwell’s role, Credit Suisse makes Australian appointments, and more
Latest job changes across the industry
End-users fear loss of Mifir’s open-access promise
Exchange groups have 30-month exemption from access rules; listed derivatives users concerned it will become permanent
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Oil & products house of the year, Asia: BOCI
Energy Risk Asia Awards, 2017: Established client base and strong product offering give Chinese bank edge in domestic oil markets
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Modeling superior predictors for crude oil prices
This paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
EU regulators stymied by Esma on electronic access
Treatment for third-country firms unknown until European Commission makes equivalence decision
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
Esma turns the screw on direct electronic access
Guidance thwarts narrower definition adopted by Eurex to help third-country clients
Calibration of temperature futures by changing the mean reversion
The authors of this paper study the calibration of futures contracts on temperature indexes.
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Exchange innovation of the year: CME Group
Risk Awards 2017: Patience pays off with spectacular success of Ultra 10 Treasury futures