Hedging
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
How energy players are reaching the limits of hedging
Commodities firms face lasting changes in 2018
Oil hedging rally slows amid backwardation
Producers pause to see if prompt price rally rolls along the curve
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
China’s Bond Connect set to remove trading obstacles
Launch of delivery versus payment and block allocation should stimulate onshore hedging as well
Quants find hidden currency risk in domestic stocks
Pure exposure to home equities harder to isolate than previously thought, new paper says
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
Energy Risk Asia Awards 2017: The winners
Societe Generale takes finance house and research gongs; Citi picks up derivatives award
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Applied risk management series: gas storage valuation strategies
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Enhancing enterprise value by trading options
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Risk and abnormal returns in markets for congestion revenue rights
This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
EU trading obligation threatens packaged trades
Banks warn they will have to break up packages and face higher costs for hedging
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Malaysian central bank strengthens onshore hedging
Bank Negara is complementing last year's NDF restrictions with a more open onshore market
Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
Beware the pitfalls of right- and wrong-way risk
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
Hedging advisory of the year: Aegis Energy Risk
Energy Risk Awards 2017: Strength in capabilities drives business to Texan advisory