Asia Risk - Sep 2017
September 2017 issue features articles on: the dangers of concentration within autocallables underlying; the looming deadline for LEIs under Mifid II; a Q&A with Andrew Sheng, of the CBRC; how contrasting opinions on China netting are causing confusion; and Murex tops our annual technology rankings
Articles in this issue
Don’t leave margining till the last minute
Institutions in Asia have a narrowing window to plan for initial margin regime
China to model financial reforms on Mifid II
Exchange chief tips authorities to review position limits and transparency in OTC markets
E-trading boosts mid-tier banks in rates and credit
New technology helps Natixis and Mizuho compete with major dealers in swaps and bonds
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
People moves: UBS hires new Apac investment bank vice-chair
Also: Commerzbank’s trade finance Asia head; Blackstone nabs JPM Japan chief; and others
Asia warned of LEI crunch over Mifid II deadline
Tens of thousands more Asian LEIs needed to avoid European trading lock-out in January
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Asia Risk Technology Rankings 2017: The winners
Murex tops tech provision
Q&A: Asia caught in the Basel crossfire, says Andrew Sheng
Veteran regulator says international standards may be the wrong medicine for emerging markets
Holes in the net: lawyers split over China netting opinions
Law firms are offering close-out netting opinions, but not everyone agrees it is possible
Malaysian central bank strengthens onshore hedging
Bank Negara is complementing last year's NDF restrictions with a more open onshore market
Extremely (un)likely: a plausibility approach to stress testing
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios
