Asia Risk - Mar 2022
Articles in this issue
High rates offer an opportunity for Singapore’s benchmark transition
Rising interest rates should speed the transitioning of legacy SOR loans – but there is little time to spare
Europe’s banks brace for Russia-backed cyber retaliation
Beefed-up sanctions on Russia’s largest banks spark IT security alert; 100s of computers brought down in Ukraine
Traders turn to ruble NDFs to avoid sanctions trouble
Basis between physical and non-deliverable trades hits record high as users shun local currency
Investors shun Chinese bonds favoured by biggest benchmarks
Indexes are increasing their allocation to China, but European investors want climate action first
Borrowers redefine green repo, repurposing non-green bonds
Collateralised repo transactions that support sustainability can be cheaper than green bonds or loans
Indian banks struggle to make gains from close-out netting law
Lawyers say undocumented derivatives trades hinder the audit trail needed to secure capital benefits
Dealers slam alternative for Tibor Tokyo swap rate
Refinitiv activates synthetic version, but TSR’s cessation is on hold pending further consultation
Asia moves: Senior hires at Standard Chartered, Barclays and more
Latest job news across the industry
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
For corporates, Sora seems to be the hardest word
Singapore is facing challenges adapting to new overnight lending rate, but progress is being made
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Can Clobs level the playing field in OTC FX options?
Electronification could be a “game changer” for smaller liquidity providers, say participants
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented