Asia Risk - Dec 2017
December 2017 issue features articles on: how dealers are profiting from CVA pricing inconsistencies in derivatives trades; China bond sell-off leads to calls for an options market for hedging purposes; Asia banks downgrade loan books under IFRS 9 regime; and a profile of Haitong International Securities
Articles in this issue
China bond sell-off makes case for options market
Current hedging tools inadequate, but regulators reluctant to liberalise derivatives markets
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
IFRS 9 prompts Asian banks to downgrade loan books
DBS raises provisioning on weaker energy loans fourfold in third quarter, citing rules impact
Esma downplays fears of LEI logjam
Applications have risen sharply in recent months, but concerns Asia is lagging behind other jurisdictions remain
People moves: Manulife names new Singapore CEO
Also: Apac wealth management chief for UBS; MAS creates cyber security role; Julius Baer’s new regional head; and others
Singapore to miss out on first wave of Mifid equivalence
New Esma guidance could still allow EU firms to trade Singapore stocks
Mifid II position limits regime faces non-EU reporting woes
Position reports will contain “meaningless information”, experts warn
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Haitong: a spotlight on the regional ambitions of Chinese firms
Risk30: Chinese securities house Haitong is going with the flow
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
Quant funds look past the obvious for uses of alternative data
Many systematic investors are sceptical but a few are finding ways to make new data work
Machine learning for trading
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
