BNP Paribas has launched a new foreign exchange publication called FX Quant Insight, as part of a broad initiative to establish a new FX quantitative offering within the G10 FX strategy team.
FX Quant Insight, aimed at non-quantitative as well as quantitative investors, will be published weekly on Tuesdays.
A key component of the publication is the BNP Paribas Steer model – the bank’s short-term estimate of exchange rate fair values – which is the first model from its new suite of quantitative FX strategy tools that will be released over the coming months.
The Steer model will work to increase the reach of FX strategy at BNPP in a number of ways, according to the bank, such as by using financial market data rather than economic data to determine fair value. It will also provide a short-term under- and over-valuation signal and will be integrated into BNPP’s overall FX strategy view.
The principal authors of FX Quant Insight are quantitative strategists Michael Sneyd and James Hellawell.