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Global Money Dispatch (Credit Suisse, 17 page read) Zoltan Pozsar calculates the G-SIB risk scores for US banks and finds that JPM’s score has increased which could mean ‘much less FX swap intermediation at J.P. Morgan going into year-end and a year-end turn much worse than what’s currently being priced by the market’ [Bearish FX Xccy basis]
Long vs Short Time Scales: The Rough Dilemma and Beyond (arXiv, 33 page read) An econometrics-heavy paper tests the robustness of the rough fractional volatility model over different time scales. It confirms the Hurst exponent is less than 0.5 for shorter time scales, but exhibits a convexity effect in the log-log plot.