The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in particular the counterparty credit risk began to to be considered and quantified. Consequently, pre-crisis models are no longer valid. Indeed, this work sets the basis to define a valid model that considers the post-crisis world assumptions for the Mexican swap market. The model used in this work was the proposed by Fujii, Shimada and Takahashi in [Fujii et. al., 2010b]. This model allow us to value interest rate derivatives and future cash flows with the existence of a collateral agreement (with a collateral currency). In this document we build the discounting and projection curves for MXN interest rate derivatives considering the collateral currencies: USD, EUR and MXN. Also, we present the pricing when the derivative is uncollateralized. Finally, we show the effect of the cross-currency swaps when valuing through different collateral currencies.
Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies. (arXiv:1703.00923v1 [q-fin.PR])
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A note on conditional covariance matrices for elliptical distributions. (arXiv:1703.00918v1 [math.PR])
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random variables. We show that one could introduce the univariate invariant depending solely on the conditioning set, which greatly simplifies the calculations. As an application, we show that one could define uniquely defined quantile-based sets on which conditional covariance matrices must be equal to each other if only the vector is multivariate normal. The similar results are obtained for conditional correlation matrices of the general elliptic case.
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EGX Board Sets The OTC Market Executive Regulations
The Egyptian Exchange (EGX) Board in its latest meeting approved the executive procedures of trading rules, the deals market’s mechanisms and announcing them for non-listed securities in the light of the Egyptian Financial Supervisory Authority (EFSA) decision No. 17 dated 08.02.2017.
On the other hand, EGX Board approved a set of proposed points to be included on practices that are harmful for trading which give EGX Chairman the right to take any of the actions to prohibit the customer form taking advantage form the bid and ask placing mechanism when dealing in the market, whether on one security or on a group of securities or on the level of the market as a whole, and for a period not exceeding one month if a trader or group of traders were violating the capital market law’ provisions or the decisions issued to execute it.
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Thai Listed Firms' 2016 Earnings Leap To 5-Year High At THB 909 Bln
Companies listed on The Stock Exchange of Thailand (SET) reported a net profit of THB 909 billion (approx. USD 26 billion) in 2016, a 30.41 percent rise from a year earlier, the highest net profits in five years. This was underpinned by lower production cost and recovery of Energy & Utilities, and Petrochemicals and Chemicals sectors.
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Egyptian Exchange: Ringing Of Bell For Gender Equality
Continuing its annual tradition, The Egyptian Exchange (EGX) celebrated for the third consecutive year, the opening of a trading session to emphasize the exchange's commitment to supporting gender equality and women empowerment and enhancing their role in achieving sustainable development at various levels, economic, social and environmental.
The celebration was held in cooperation with the UN for Gender Equality and Women Empowerment Mission as well as the UN Global Compact on the sidelines of International Women's Day celebrations Week. It is the anniversary of the 22nd Declaration of Pekin where the event is expected to be held in 44 stocks around the world during the same week.
H.E. Mrs. Ghada Wali, Minister of Social Solidarity and Dr. Jorg Schimmel Country Director of the UN women in Egypt participated in the celebration as well as representatives of the UN Global Compact, Egypt, the International Finance Corporation, and a number of leading Egyptian companies that apply the principles of gender equality, and a group of renowned figures as well as Parliament representatives.
H.E. Mrs. Ghada Wali, Minister of Social Solidarity expressed her appreciation for EGX to celebrate the International Women's Day for the third consecutive year. She pointed out that an essential part of the current government's commitment is to focus on economic, social and political women empowerment where she disclosed that currently a set of laws are being prepared in cooperation with both The National women's Council and Parliament Representatives that shall improve levels of protection of Egyptian women and the society as a whole.
From his side, Dr. Mohammed Omran, EGX Chairman, stated that EGX consideration for the issue of gender equality and women empowerment is a genuine interest as it is part of the sustainable development of EGX strategy. He added that woman occupies a large percentage of the employees and management in EGX; however, EGX management has taken serious steps to emphasize its commitment to gender equality, where EGX incorporated an unprecedented initiative on the level of institutions in Egypt to form an executive half of which is from women management in the stock exchange ensuring that our commitment to equality does not stop at the extent of logos.
Omran added that EGX efforts also focus on the integration of listed companies in applying gender equality and preventing discrimination, where the upcoming period will witness intensive efforts in cooperation with the market participants. On top of these efforts comes holding a training program for listed companies management during May in cooperation with the UN women program. It will be proceeded by the selecting a group of companies to provide them with consultation in the field of anti-discrimination and gender equality. It was also agreed to invite a group of the most promising companies in the field of gender equality from Upper Egypt to ring the bell at EGX during October to emphasize the importance of this application governorates other than Cairo and Alexandria.
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JPX Monthly Headlines - February 2017
JPX group companies undertake various initiatives and disseminate information with the aim of providing the most attractive markets to all users.
Every month, we showcase the highlights of these efforts in short and concise summaries just for you.
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UK's Financial Conduct Authority Publishes Insurance Distribution Directive Consultation
The Financial Conduct Authority (FCA) has today published the first of its two consultation papers on the implementation of the Insurance Distribution Directive (IDD).
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Plato Partnership Announces 15 New Partners
Plato Partnership, a not-for-profit company bringing creative solutions and efficiencies to today’s equity marketplace, is pleased to announce 15 new Plato Partners.
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HKEX Monthly Market Highlights - February 2017
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Securities Commission Malaysia Proposes Amendments To Enhance Framework For Principal Advisers
Securities Commission Malaysia (SC) today released a consultation paper inviting feedback on an enhanced framework for principal advisers as part of its ongoing efforts to develop a competitive and efficient capital market. This consultation paper is issued after a holistic review conducted last year on the 2009 Principal Adviser Guidelines.
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Industry Heavyweight Joins Global Alternatives Ahead Of Launch Of Cross-Border Property Trading Exchange - Global Alternatives Appoints Brendan Bradley, Former Chief Innovation Officer And Board Member At Eurex, As Non-Executive Chairman - Bradley Joins As Global Alternatives Prepares To Launch Prop-X, An Industry-Wide Property Trading Exchange - With A Beta Launch Expected In Early Q2, It Will Bring Together Property Crowd’s Crowdfunded Assets With Other Assets From Across The Institutional Sector
Global Alternatives, an owner-operator of marketplaces for alternative investments, has announced the appointment of Brendan Bradley as Non-Executive Chairman as it prepares to launch Prop-X, a cross-border property trading exchange.
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ETFGI Reports The Global ETF/ETP Industry Grew Faster Than The Global Hedge Fund Industry During 2016
ETFGI, the leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, reports today: that during 2016 the global ETF/ETP industry grew faster than the global hedge fund industry.
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Leading Risk And Compliance SaaS Platform Opus Appoints Lee Kirschbaum As SVP, Product, Marketing, And Alliances
Compliance and Risk Management SaaS technology leaderOpus announced today the appointment of Lee Kirschbaum as SVP and Head of Product, Marketing, and Alliances. Kirschbaum will be responsible for accelerating the level of innovation in the company and delivering market-leading compliance and risk management solutions to clients and strategic partners. Kirschbaum will be combining the collective strengths and expertise across the Hiperos and Alacra product lines to further the level of innovation within the company.
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Deutsche Börse AG Launches Trading Of Money Market Funds With Shorter Settlement Period Of T+1 - Five BlackRock Institutional Cash Series Plc Money Market Funds Are Tradable On Xetra
From today on money market funds with a shorter settlement period of T+1 are tradable via Xetra. These products are therefore the first class of securities for which transactions are settled on the trading day following order execution. All other classes of securities in exchange trading currently have a settlement period of T+2. The new offering addresses the particular trading and settlement conventions of money market funds.
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Irish Stock Exchange Statistics February 2017
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Irish Funds Working With Industry Participants And Deloitte Complete A Blockchain Proof Of Concept For Regulatory Reporting
Irish Funds today announces that it has, in collaboration with Deloitte and participants from leading global asset servicing and fund management institutions including Deutsche Bank, Metzler, Northern Trust and State Street, successfully completed its blockchain proof of concept for regulatory reporting, “RegChain”.
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BIS Quarterly Review, March 2017
BIS Quarterly Review for March 2017: Beyond swings in risk appetite. Special features on "Consumption-led expansions", "The new era of expected credit loss provisioning", "The quest for speed in payments" and "The bond benchmark continues to tip to swaps"
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March 2017 BIS Quarterly Review: Beyond swings in risk appetite
BIS Press Release - March 2017 issue of the BIS Quarterly Review. Investors have started to discriminate more across asset classes, regions and sectors as they try to make sense of the implications of a changing political environment, in contrast to the cross-asset herd behaviour that characterised markets in recent years. The shift away from the consistent waves of risk-on, risk-off buying and selling suggests that, ...
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Dubai Financial Services Authority Strengthens Dubai’s Financial Technology Proposition
The Dubai Financial Services Authority (DFSA) is enhancing its contribution to Dubai’s position as the region’s leading hub for innovation through the publication of a new FinTech consultation paper today. The paper is the third in a series, setting out the DFSA’s approach to the regulation of pioneering financial technology (FinTech) activities.
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London Stock Exchange, Deutsche Bank, Amman Stock Exchange, Al Mawared Brokerage Conference On Depositary Receipts
London Stock Exchange and Deutsche Bank in partnership with Al Mawared Brokerage are holding a conference on Depositary Receipts on Monday March 13, 2017 at the Jordan Capital Markets premises, in cooperation with The Amman Stock Exchange (ASE). The Jordan Securities Commission (JSC), the capital markets regulator, recently issued new regulations regarding the issuance, listing and trading of Depositary Receipts.
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