Asia Risk - Dec 2022/Jan 2023
Articles in this issue
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
China bond futures to be relaunched in Hong Kong
Products expected to be back on HKSE next year – six years after being suspended
HKD de-peg bets gather steam
Options struck outside permitted band grew this year, with some dealers recycling flows via structured products
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions
Climate risk managers debate role of client transition plans
Banks hope for guidance on whether to include changes in client behaviour in long-term scenarios
Ukraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
Asia moves: Citi and Deutsche Bank make senior hires, and more
Latest job news across the industry
Who blew up gas prices? (It wasn’t just Russia)
Government buying, climate risk and short squeezes may have led to ‘horrendous’ gas market margin calls
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
Howson on steering Cboe past potholes and traffic cops
Head of world’s largest options exchange discusses SEC regulation and SPX appeal
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
