Risks
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The End of America First? Stock Index Relative Value Analysis: US vs EU/UK/Japan
No, I am not talking about US administration policy before Biden’s, I am talking about stock index trend between US market vs other 3 major markets (EU, UK, Japan), which has been there since the great recession of 2008 for more than 12 years. I noticed it the first time around 2 years ago, but with latest Coronacrisis and turmoil in bond market lately, this trend might be about to change. Motivation In my previous article explaining the relationship between bond market and stock market by comparing 10-year treasury bond yield (risk-free rate) and
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License to Yield: How Bond Actions Affect S&P 500 (and Others)
It has been more than a decade since the first time negative interest rates were introduced in 2009, by Sveriges Riksbank, central bank of Sweden in overnight deposit rate. However, the real negative interest rate policy (NIRP) were introduced broadly since 2014, which was called one of the greatest monetary policy experiments. Later, it was adopted by Bank of Japan in 2016, in which ultra-low negative interest rates were already introduced previously in post-1997 Asian Financial Crisis period. Euro area deposit facility graph (tradingeconomics.com) Bank of Japan interest rate decision
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Why 2020 is Different: FX Risk View on 43 Currency Pairs vs USD
In many risk management practice, especially for those who are dealing with market risk in daily basis, year 2008 must be still lingering in their minds. The great recession of 2008 is so great in effect that it has triggered reforms in many regulatory and accounting standards, in which I mentioned one of them in my last post (Basel 4). The year is also used in stress scenarios of many financial market business, strategy, and even regulatory capital calculation. However, how about 2020? The Great Pandemic of 2020 Year 2020,
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Basel 4 in January 2023, R U Ready?
This week, I was busy giving presentation towards market risk colleagues in Indonesia, coming from various local and multinational banks. The topic is about the new FRTB standards (Fundamental Review of the Trading Book), the foundation of the new minimum capital requirements for market risk within the new Basel 4 framework. It is expected to go live in January 2023, after one year postponement taken into account due to Covid-19. The new standards will go live together with other Basel 4 updated components, such as CVA and credit risk. While some banks have spent both time and resources to tackle
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Modellers: When Are They Turning Into a Cult?
(Originally published in LinkedIn – December 2020) I had two meetings this week with fellow risk professionals, one is with audience from my home country (Indonesia) and the other one is more diverse (from US and HK). The subject is more or less the same, over technological improvements on financial sectors, especially related to AI/ML. In both meetings, I have this gut feeling that the main message both audiences believe is technological improvement is a necessary mean of survival for any financial sector company right now, in which I am also a proponent of this idea. Innovation
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When The Clock Stop Ticking
(Originally published in LinkedIn – March 2020) Yesterday, WHO Chief, Adhanom Ghebreyesus announced coronavirus outbreak as pandemic. In his announcement, he explained that the number of cases outside China had increased 13-fold in two weeks and he was “deeply concerned” by “alarming levels of inaction”. One day after the announcement, global market reacted today with massive sell-offs that also affected commodity prices as well. The announcement seemed effective in alarming market participants over what they have been anticipating, another recession. The large difference this time than the last one in 2008, it can create a large both