NDF Clearing – what is trading?

We look at the volumes being cleared in NDFs The growth is impressive, with nearly $200bn cleared in September This growth accelerated in the final weeks of September USDINR saw the highest volumes and USDBRL saw the largest growth Tod took a look at NDF clearing as of the 20th September, noting that volumes were really beginning to take-off. […]

ISDA SIMM マルチ・カレンシー・ポートフォリオ

ISDA SIMMを使ったIMの計算をマルチ・カレンシー・ポートフォリオで見てみよう
ISDA SIMMでは、異なる通貨間のセンシティビティの合算には、相関係数として27%が指定されている