Asia Risk - Mar 2019
In this issue, Apac bank risk boards lack experience; hedging fears for Japanese banks; the top 10 op risk losses; and more
Articles in this issue
CICC looks to China assets for alt risk premia boost
Source of diversification can be found in yuan-denominated assets, says fund’s quant head
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
Aussie banks: a right Royal mess
Misconduct probe sparks board changes and bout of introspection at Big 4
Asia moves: Natixis equity derivatives head departs, new banking head for JP Morgan, and more
Latest job changes across industry
Hope fading for margin threshold hike
Smaller buy-side firms could still escape compliance burden via expected regulatory guidance
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Apac bank boards: light on risk experience
Survey of 24 large Apac bank board risk committees shows dearth of risk managers
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Top 10 operational risk losses of 2018
Mega-fraud at China’s Anbang pushes up total losses year on year; SocGen suffers double blow
Nomura plans more hires in equity derivatives, eyes China
Unit head also sees potential in Hong Kong listed market and in demand for bespoke products
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
