Asia Risk - Dec 2018/Jan 2019
In this double issue: Asian CCPs rethink margining practices in the wake of the Nasdaq clearing default; multi-dealer platforms rise in popularity in Asia; alt premia funds have had a miserable year; and much more
Articles in this issue
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
Fuel spikes expected from sulphur cap on shipping
Energy Risk Asia: IMO 2020 will save lives, but also impact entire energy complex
Banks won’t return to commodity markets, conference hears
Energy Risk Asia: energy majors and other entities taking up space vacated by banks
Brace for more Nasdaq-like losses, HKEx CRO warns
Roland Chai says defaults more likely as global instability increases; CCPs should focus on auction processes
Op risk jumps $7 billion at Aussie banks
Year to year, op RWAs have swelled $24 billion
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Asia moves: BlackRock picks new Asia head, Credit Suisse boosts regional solutions, and more
Latest job changes across industry
Japan dealers unhappy with all Libor fallback options
Bank association snubs request to rank Isda’s proposals – reluctantly picking ‘least bad’ option
China warning spurs banks over bail-in debt plans
Competing for attention in global TLAC markets could drive up costs for Chinese lenders
Clearing houses in Asia to overhaul creaking margin models
Fears of Nasdaq-style failures spur rethink of margining practices at HKEx, JSCC, SGX
Structured product platforms take off in Asia
Multi-dealer platforms Contineo and FinIQ seek to replicate success in Europe’s fragmented market
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
How replication simplifies pricing of vol exotics
Barclays quants replicate knock-out corridor swaps using barrier options in bid to make pricing easier
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
