Asia Risk - Nov 2021
In this issue, we look at whether climate risk can fit into existing credit risk weights, a new technique for quants called signatures, and hedge funds’ funding post-Archegos.
Articles in this issue
China hints at broader scope with netting law name change
Central bank reportedly behind name change as derivatives rise up political agenda
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
Asia moves: HSBC appoints new Apac head, Barclays hires country CEO for China, and more
Latest job changes across the industry
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise
‘Signatures’ promise quants a tool for all jobs
Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
Some hedge funds are financing trades for other hedge funds
After the Archegos collapse, hedge funds are competing to borrow money from a dwindling number of banks
After FTSE inclusion, China bonds still face CNY hedge hurdles
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning