Asia Risk - Dec 2019/Jan 2020
In this issue, we look at the problem with power cuts affecting exchanges, quants’ move into private equity turf, and more
Articles in this issue
Death, taxes and technology risk
Exchanges must plan for the certainty that their technology will fail, sometimes
HK-China blockchain link tipped to boost trade finance
HSBC, StanChart and Bank of China welcome Hong Kong and China trade finance tie-up
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Asia lenders usher in year of the virtual bank
The surge in online banking is informing risk technologies in traditional banks
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
FCA steps up call for Libor ‘pre-death’ trigger in swaps
Failure to insert pre-cessation trigger could disrupt hedging of cleared swaps, warns regulator
Asia moves: Soc Gen replaces Asia chief, Deutsche Bank appoints wealth management head, and more
Latest job changes across the industry
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
JP Morgan debuts Nexus spinoff for hedge fund exposure
Bank launches matchmaking service for lonely hedge funds and return-hungry investors
HKEX outage zapped key hedge; now banks push for rule change
Dealers seek shutdown of CBBC market if futures go dark
Buy side builds bots to cut trade costs
With margins under pressure, investment firms are looking to accelerate automation push
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Robo-raters help banks vet vendors for cyber risk
Specialists tout service for monitoring third parties amid tougher rules on outsourcing risk
Op risk data: $250m legacy loan frauds hit Bric banks
Also: costs from post-2012 cyber breaches top $2bn. Data by ORX News
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
