FX Crisis Protocols

We classify black swans as: 1) 10+ standard deviation moves (2015 CHF unpeg), 2) Liquidity evaporation events (2020 March crisis), 3) Sovereign default risks (EM debt crises), and 4) Geopolitical system shocks (war-induced sanctions). These feature correlation breakdowns, bid-ask spreads widening 50-100x, and forced liquidations.

Our frameworks include: 1) Pre-positioned safe havens (gold, JPY, CHF allocations), 2) Volatility dampeners (long gamma option structures), 3) Liquidity hierarchy maps identifying exit corridors, 4) Counterparty risk mitigation (multi-broker exposure limits), and 5) Circuit breaker rules triggering automatic position reductions at predefined volatility thresholds.

We employ: 1) Micro-lot fragmentation enabling partial exits, 2) Dark pool access protocols bypassing lit markets, 3) Basis trade arbitrage exploiting ETF/spot dislocations, 4) Negative correlation over-hedging, and 5) Central bank facility targeting (Fed swap lines during dollar shortages). Execution prioritizes survival over price optimization.

Core protective instruments: 1) OTM USD put ladders for EM currencies, 2) Volatility arbitrage swaps (long VIX vs short FX vol), 3) Gold-mining stock hedges, 4) Cross-asset tail risk options, and 5) Safe-haven currency pairs (JPY/CHF) with negative beta to risk assets. Allocation percentages adjust based on crisis severity scoring.

We maintain specialized protocols for: 1) Currency regime collapses (capital control implementation), 2) Sovereign defaults (CDS-triggered hedges), 3) Flash crashes (liquidity scavenging algorithms), and 4) Geopolitical shocks (sanction-exposed currency triage). Each features event-specific volatility filters and position unwind sequences.

We conduct: 1) Liquidity autopsies mapping execution failures, 2) Correlation breakdown analysis, 3) Counterparty stress testing, 4) Volatility regime reclassification, and 5) Hedge effectiveness scoring. This creates updated crisis playbooks incorporating new market structure vulnerabilities.