Asia Risk - Mar 2017
March 2017 issue featuring articles on: why the FRTB could lead to a dangerous concentration of risks; Mifid II equivalence threat to Hong Kong dual-listed equities; Aussie backloading rule tempers VM relief; and dealers seek more transparency from CCPs over margin fears
Articles in this issue
Philippines will allow proxies as IFRS 9 stopgap measure
Central bank to issue guidelines to help address the shortage of data for compliance
Three Japanese banks consider new CVA approach
Industry working group formed to discuss introducing accounting adjustment
VM push fails to deliver cleaner CSAs
Dealers have softened stance on collateral terms as March 1 deadline approaches
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
People moves: Citi axes second Asia-Pac clearing head in 18 months
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
Australian VM relief undermined by backloading rule
Trades entered during six-month transition period will need margin from September 1
Mifid equivalence delay threatens Hong Kong dual-listed stocks
HSBC, Stan Chart and Prudential shares could face trading disruption in 2018
Japan holds firm on VM deadline as Fed tracks progress
JFSA says no “strong reason” for delay; Bafin and Fed monitor developments
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
‘Great rotation’ highlights clash over unseen risks in factor investing
Gaps in performance of apparently similar products rekindle debate on index construction
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
