Citi Pushes FX, Credit Correlation Play

11 Mar 2010

Citigroup is recommending investors take a view on fx spot movements and credit spreads while volatility and correlation between the asset classes is still relatively high by historical standards.

--Katy Burne

Citigroup is recommending investors take a view on fx spot movements and credit spreads while volatility and correlation between the asset classes is still relatively high by historical standards.

The firm is advising investors to use quanto credit default swaps, which are triggered for settlement if a borrower ...

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