Asia Risk - Mar 2020
In this issue: how AI actually works, what has happened to FX volatility, and the clash between Apac CCPs and clearing members.
Articles in this issue
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
Dealers prefer repo for new risk-free rate in Korea
Unsecured rate undercut by dwindling transactions in local call market
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Asia moves: JP Morgan names new Apac CEO, Axa hires six heads, and more
Latest job news across the industry
Chinese banks set for mass loan repricing
Options launch slated for February to help industry switch to new benchmark by August
Singapore banks tighten ML governance amid regulatory scrutiny
DBS, StanChart and Deutsche build model inventories and draw up standards around use cases
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Prising open the black box of AI
Shapley values, Lime and other tools can help decipher machine learning’s output. It’s a start…
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Op risk data: Citi fined $18m for failing to buy flood insurance
Also: VTB takes $535m hit from Mozambique loan fraud; Citadel Securities fined in China. Data by ORX News
The market generator
A generative neural network is proposed to create synthetic datasets that mantain the statistical properties of the original dataset
