Asia Risk - Spring 2024
Articles in this issue
China stock sell-off will test securities firms’ risk managers
Regulatory measures to support stock market could add to risks facing securities sector
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
Bank of China issuance not ‘sufficient’ to cover TLAC needs
Announced issuance still only a fraction of total bail-in debt needs for Chinese G-Sibs
Market seeks details of PBoC plan to open onshore repo trading
Traders welcome the move but want clarity on legal and collateral issues
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Dealers braced for Taiwan swaps clearing mandate
Expected FSC directive on TWD interest rate swaps could spur growth in FX clearing, say bank execs
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Westpac fined over interest rate swap pre-hedging
Court finds against Australian bank for “unconscionable” behaviour, amid calls for a broader guidance around the practice
Citrix Bleed hacks flag IT asset inventory shortfalls
To know what needs urgent patching, global banks first need to know what software they have
Asia moves: senior hires at Millennium, Citi, SMBC and more
Latest job news from across the industry
Deposit insurance could transform outlook for China TLAC
Issuance needs drop dramatically if regulators allow maximum inclusion of deposit insurance fund
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
Levelling the playing field for stablecoins
Regulatory asymmetries are a barrier to innovation in digital payments
Will generative AI crack the code for bank tech teams?
Banks could roll out tools to help translate old – or write new – code within months
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
