vol is cheap vs rates and the skew the least expensive in that sector.
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we think vol and skew have room to reprice higher compared to the repricing
and the BoJ defending its JGB yield target. We do
2y2y and 2y1y that the selloff would be largest (75-85bp
onshore FX swap and forwards would be the next
Frankel and Wei (2007) for a detailed explanation.).
followed by Japan and Europe. Inflows to China could be
capital mobility restrictions and beneficial ownership.
short SGD/INR and long PEN/CLP. For more neutral
as they are highly correlated with USD and carry
isolating global and idiosyncratic sources of risks
exhibit negative skewness and fat tails. Even
for the last two years and the years 2013-2014
LatAm and EMEA currencies are more sensitive to shocks in
we could stop the analysis here and choose those