Asia Risk - Jul/Aug 2023
Articles in this issue
Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise
PBoC eyes further opening of onshore repo for foreign investors
Chinese central bank gives first official signal it is looking at Swap Connect-style scheme for repo
NatWest plans to put the XVA into RFQs
Bank to launch approximation tool on its electronic pricing framework for FX forwards
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Buy-siders to face rising settlement risks when 2 becomes 1
Non-US asset managers may miss crucial window to settle trades with CLS after switch from T+2 to T+1
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
As Libor ends, credit-sensitive rates face day of reckoning
Iosco to issue compliance verdict on Ameribor and BSBY as transition deadline looms
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented