Asia Risk - Jun 2017
June 2017 issue features articles on: how volatility of IFRS 9 loss estimates is alarming lenders; Japan megabanks and bail-in debt; the role of machine learning in modelling the impact of a company’s own trading activity; systemic risk concerns over Basel’s method to identify G-Sibs
Articles in this issue
Cracks in China shouldn’t be a reason to delay Bond Connect
Bond market initiative must go ahead, even amid cooling investor demand for debt
BAML and Morgan Stanley shift Indian P-notes to Europe
Tax changes trigger move out of Mauritius and Singapore
Bail-in ambiguity hands funding advantage to Japanese G-Sibs
Financial Stability Board wants Japan to clarify the conditions under which it can use its resolution powers
Asian exchanges jostle to claim LNG derivatives market
SGX and Platts hope to capitalise on physical hedgers, who remain pensive
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head
People moves: ANZ makes senior changes in Apac
Also: Priestley leaves JPM; Hong Kong’s Insurance Authority staffs up; ABN Amro hires Simon Wood; and others
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Madness in the method: Basel grapples with G-Sib riskometer
Some experts warn the methodology to identify systemic banks could increase systemic risks
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Bank scandals suggest cultural problems are industry-wide
Libor-rigging and similar misconduct across multiple firms may be the result of 'macro-cultures'
Netting no problem for blockchain, tech firms tell regulators
Firms say DLT can sit with current market practice, but instantaneous settlement 'not desirable'
Is wholesale banking disruption-proof?
Fintech threatens market-making, research and wealth management, writes eCo Financial Technology CEO
Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
