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Simply put, Russian banks (and other institutions) had local assets and hard-currency liabilities. Local assets lost value not only because they were denominated in a currency that unexpectedly depreciated by a lot, but also the equities market crashed, and a lot of the corporate debt defaulted following the government default (local-currency debt). Hard-...


3

So, a future is basically like a forward. $F_0(T) = S_0e^{T(r_{f,T}-r_{d,T}+x_T)}$ The longer dated you go, the more you have exposure to the stuff in the exponential (rates in the two currencies, and the xccy basis $x_T$). That's a trading choice: do you want to trade pure spot FX (or close to it), or the forward (for which maturity?) The answer of ...


3

Try the BIS Triennial FX Survey, latest was last year. https://www.bis.org/statistics/rpfx19.htm E.g. https://stats.bis.org/statx/srs/table/d11.4?o=8:TO1,9:TO1 (table showing "OTC foreign exchange turnover by instrument, counterparty and maturity in April 2019, "net-net" basis") EDIT: you could also try https://www.bankofengland.co.uk/...


3

The way central banks do this is to calculate the Effective Exchange Rate for the country in question. Basically this is a weighted average of the other currencies, with the weights chosen to represent the importance of each foreign country in the international trade of the domestic country. For example for the United States, the Fed has defined the Broad ...


3

It's a unit of account (for the IMF and other international bodies') purposes. As well as just a basket of the most liquid and transferable currencies that reserve managers will all hold anyway in their normal course of business. It doesn't "move" FX markets. The measures as I understand them are: = basic liquidity and transferability (which is why ...


2

Firstly, it's highly likely you would be trading either futures or forwards so your only concern is funding your margin at your FCM/PB (e.g. see CME) Why you would convert USD to EUR, I dk. Secondly, you should be calculating your PNL at EOD back to your 'base' currency (which seems to be USD from your post). Related to the above, it's common simply to hold ...


2

(A good book on emerging markets FX is: https://www.amazon.com/Trading-Fixed-Income-Emerging-Markets-dp-1119598990/dp/1119598990/ https://www.wiley.com/en-us/Trading+Fixed+Income+and+FX+in+Emerging+Markets%3A+A+Practitioner%27s+Guide-p-9781119598992 Dirk Willer, Ram Bala Chandran, Kenneth Lam. Trading Fixed Income and FX in Emerging Markets - A Practitioner'...


1

Loosely speaking, by first getting permission from the relevant regulatory authorities. Here is some color on BRL from one bank's EM FX guide: "[spot] FX transactions must be registered with the BCB and booked against a financial institution authorised to deal FX by the BCB...Interbank transactions between Brazilian financial institutions can be booked ...


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Open Markets, Contract Law And An Efficient Legal System Many places that are unimportant by the population/economy/military size have global currencies. The key is that they tend to have efficient, transparent legal systems and a clear base of contract law. Both the Singapore dollar and the Hong Kong dollar are global currencies, for example, while ...


1

Probably your best approach is to use something like a GARCH-X model. That gives you a GARCH setup to capture the persistence of volatility; however, you also bring in other exogenous-ish covariates to better model the mean and/or volatility. That would allow you to bring in (for example) the size of interest rate parity violations, PPP, change in PPP, ...


1

as noob2 wrote, Q is the pre-agreed on (ie fixed in advance) fx rate , ie it is the guaranteed exchange rate. eg if your underlying were the DAX index and you wanted your payoff to be linear in the DAX, but in USD , then Q would be some constant number and it's units would be EURUSD , and so the "Quanto Forward Value" of your equation would be in ...


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