Asia Risk - May 2018
May 2018 issue features articles on: clearing house basis opens up between JSCC and LCH on yen swaptions; optimism over Shanghai INE yuan-denominated crude future; dynamic forex hedging suffers at the hands of unclear FRTB changes; traders wary of potential loopholes in Isda fix
Articles in this issue
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
3LOD helps bolster risk culture – banks
Credit Suisse links metrics gleaned from first- and second-line risk managers to pay decisions
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks
Loans to offshore centres surge
Total claims surpass pre-crisis peak
Barclays’ cyber chief: try to break your own IT defences
Banks “must go beyond vulnerability assessments”, conference hears
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
Asia moves: HKEX appoints Cha, CSFS names new chief strategist and executive director, and more
Latest job changes across the industry
Rising yields prompt China banks to up loan-loss coverage
Domestic and foreign lenders reassessing loan books and tweaking hedging strategies
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Facing down complexity – Creating a global framework for compliance
TMF Group discusses how in‑house general counsels can help Asia-Pacific‑based organisations navigate an increasingly complex regulatory landscape by creating a global subsidiary compliance strategy that also addresses regional needs
Chinese oil future could be first of many in Asia
Traders optimistic over long-term prospects for INE RMB crude future
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Fixing CDSs: lots of patches, no magic wand
Isda response to Hovnanian controversy could open new loopholes, traders warn
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
Isda chair on the swaps market’s power shift
A decade ago, dealers held 18 of 19 board seats – but crisis has forced trade body to change
