Asia Risk - Apr 2021
In this issue, we examine the rough volatility model making waves in options pricing, we highlight the top 10 op risks for 2021, and look at the importance of having a written risk policy.
Articles in this issue
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
Asia moves: Natixis hires two in Asia, Sumitomo boosts corporate banking, and more
Latest job news across the industry
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
New licence forces rethink over Australian trading presence
Overhaul of regime will drive changes to booking models for trades with Australian clients
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Top 10 operational risks for 2021
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Clear, concise, consistent, doable – rules for a risk policy
Effective risk policies may be elusive, but they’re a must, say two veterans of the art
Esma dithers over mandatory LEIs for repo collateral
The risk of no-trade lists due to SFTR hasn’t stimulated the uptake of LEIs outside Europe
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
A bitcoin ETF could threaten the world’s biggest crypto fund
Regulated funds may suck away demand for Grayscale’s off-exchange investment trusts
As machines disrupt investing, people still have a role to play
Despite AI’s growth, investing still needs human adaptability and judgement, writes Schroders’ Lim
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
