Market volatility
Derivatives house of the year, Asia ex-Japan: UBS
Asia Risk Awards 2020
The evolution of pricing bonds and the data journey
Jason Waight, head of regulatory affairs, Europe at MarketAxess, considers why access to flexible data is key to using new trading protocols in fixed income
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Pricing data in fixed income markets – Is transparency truly an issue?
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explains how investment in commercial transparency solutions has proven itself in 2020, and why this leaves a question mark over the potential value of a centralised bond tape
Confidence in pricing data is essential in a distressed market
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explores the key role of reliable data sources in offering a commercial advantage to traders during the March crisis
Structured products gain favour among Chinese enterprises
The Chinese government’s flagship national strategy for the advancement of regional connectivity – the Belt and Road Initiative – continues to encourage the outward expansion of Chinese state-owned enterprises (SOEs). Here, Guotai Junan International…
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Switching CCP – How and why?
As uncertainty surrounding Brexit continues and the impacts of Covid-19-driven market volatility are analysed, it is essential for banks and their end-users to understand their clearing options, and how they can achieve greater capital and cross…
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
Buy side eyes outsourced trading amid Covid disruption
Pressure on trading continuity drives in-house desks to look outwards
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Morgan Stanley unruffled by VAR model update
Quiet last quarter of 2019 saw average VAR down to $38 million
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Deutsche’s market RWAs surge €8bn on volatility spike
Elevated VAR levels and a temporary increase in the incremental risk charge, drove the market RWA increase
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter