Asia Risk - Feb 2020
In this issue, we look at how Hong Kong’s problems are leading firms to seek alternatives, the top 10 operational risks of the past year, and more.
Articles in this issue
Taming the future: Hong Kong and China
Times are tough for Hong Kong, but it remains the best-positioned financial centre to access China
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
Asian investors primed to buy more CLOs, experts say
Liquidity and diversification are drivers for demand, after US loan market’s recovery from blip
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
Asia moves: Natixis hires Asia M&A chief, Deutsche Bank picks north Asia head, and more
Latest job news across the industry
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
Fund managers look beyond Hong Kong as instability bites
Contingency planning for Hong Kong protests could turn into structural shift for asset management industry
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Bank disruptors: how tech joint ventures help Nomura’s bottom line
Nomura is developing new software services to supplement trading profits
Quant funds look to AI to master correlations
Machine learning shows promise in grouping assets better, predicting regime shifts
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
