Discriminatory Pricing of Over-the-Counter FX Derivatives
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group
Research Seminars in Finance
Topic: Discriminatory Pricing of Over-the-Counter FX Derivatives
Abstract: New regulatory data reveal extensive discriminatory pricing in the FX derivatives market, in which dealers and their non-financial clients trade over-the-counter. The client at the 75th percentile of the cross-sectional distribution pays an average spread that is 17 times as large as that paid by the client at the 25th percentile. We show that spreads decline with client sophistication. Trading on electronic request-for- quote platforms induces competition among dealers, which eliminates price discrimination and prevents dealers from exploiting recent price changes to their advantage. We additionally quantify the effects on spreads of dealer-client relationships, counterparty risk, and contract customization
A light lunch will be provided at 1 p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 30th October.
Date: Wednesday, 1st November 2017
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8, Room 4.003
Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
