Asia Risk - Mar 2018
March 2018 issue features articles on: China pushes to unify financial rule-making; UOB, OCBC take provisioning hit under IFRS 9; TLAC rules in Hong Kong may force China banks into early debt issuance; SMA switch likely to penalise BoC and ICBC for op risk capital
Articles in this issue
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Singapore’s banks frontload IFRS 9 provisioning hit
UOB, OCBC announce $1.4 billion set-asides in Q4 results to account for oil and gas loan exposures
Apac banks fear cyber risk capital shortfall under SMA
Method’s reliance on past losses and lack of scenario analysis could weaken cyber risk defences
Non-EU banks consider updating benchmark fallbacks
Move follows Iosco call for contingency planning that mimics new EU standards
Swiss loans may struggle with Libor transition, warn lawyers
Lack of standardisation means fallback clauses may be unable to handle move to Saron
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Goldman discloses ‘speed bumps’ for forex clients
Past behaviour may subject clients to a 200-millisecond hold period, as US bank tries to avoid losses
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Asia moves: Nomura hires in Hong Kong, HKEx shuffles board, and more
Latest job changes across the industry
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
Hong Kong may front-run China TLAC requirements
Chinese G-Sibs could be forced to issue in Hong Kong before group TLAC requirements apply
Regulatory constraints – How increased requirements are evolving CPM
Amnon Levy, managing director and head of portfolio and balance sheet research at Moody’s Analytics, discusses the evolving expectations of institutions for credit portfolio management, as well as how it is being altered and adapted amid greater impact…
One road: China’s new regulatory body begins to unify rulemaking
Micro-issues like netting and securitisation may also be in sights of powerful new committee
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
