Asia Risk - May 2017
May 2017 issue features articles on: Japan banks wrestling with CVA; China lenders seek clarity on TLAC bail-in framework; IFRS 9 double counting causes problems; the global impact of Mifid II
Articles in this issue
Documentation concerns slow CNY forex derivatives growth
Foreign fund managers need clarity before market can take off, say banks
Blockchain smart contracts raise systemic risk concerns
Automated swaps margin payments could exacerbate systemic risks, regulators warn
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
China’s insurers wrestle with ALM as liabilities lengthen
Clampdown on overseas investment fuels pressure to find long-duration domestic assets
Dealers crack down on clients with dual netting sets
Pricing adjustments for posting non-cash collateral can run to 100bp
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
People moves: Citi promotes Bacon to Apac investments head
Also: Natixis adds Kenneth Lee; Yin joins HSBC Private Bank; JP Morgan nabs three from Goldmans for Aus/NZ; and others
China TLAC uncertainty frustrates capital planning
Banks face $1 trillion issuance crunch if regulators take too long to define bail-in debt
Volcker fights back as prop-trading ban comes under attack
Former Fed chair tells Risk.net that calls for total overhaul of eponymous rule are misplaced
The hard labour in profiting from alternative data
Quant fund spending on fresh data will pass $7 billion by 2020, yet most attempts to use it fail
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
Some banks find huge margin savings by breaking up indexes
Splitting equity and commodity indexes can halve initial margin, but not everyone can do it
The long arm of European law: Mifid alarms the world
Non-European firms may have to undertake compliance projects without knowing the final rules
Nickel-and-Dimon: why bank CEOs loathe op risk capital
JP Morgan’s Jamie Dimon and ex-StanChart CEO Peter Sands are no fans of the RWA approach
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
