Asia Risk - Nov 2018
In this issue: Asia firms hit by drought in quants; Hong Kong slump hits CBBC; Nasdaq shows up the cracks in clearing; and more
Articles in this issue
Asian exotics desks need to slash risk
Time for structured products desks to curb their appetite for risk
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
National supervisors put pressure on global risk models
Varied supervisory and external audit demands stretch cross-border risk management
Stronger loans buttress ANZ profits, suppress RWAs
Gross impaired assets fall A$400 million year to year
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
SGX to exit swaps clearing business
Decision will leave some contracts without a CCP from next April
Asia moves: SocGen replaces China head, Goldman names new partners, and more
Latest job changes across industry
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges
After Nasdaq, cracks appear in foundation of clearing
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
Machine learning hits explainability barrier
Banks hire AI industry experts in face of growing regulatory scrutiny
Not so DFAST: slim Mizuho avoids stress
Mizuho Americas has remained lean to head off CCAR, and, post-Crapo, it’s clear of DFAST, too
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today