Dividends
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
US G-Sibs build capital even as shareholder windfalls surge
The eight large US banks return more than $30 billion to equity holders
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Prudential Financial adds $1bn to liquidity pool
Insurer increases highly liquid assets by 25% in 2018
Even after hefty loss, Nomura capital ratio remains aloft
CET1 ratio jumps to 17.8% despite ¥76 billion loss
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Shareholder giveaways deplete US G-Sib capital
Aggregate CET1 ratio robust at 12.1%
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
Global bank equity levels returned to growth in Q1
Bank equity level increased by $87 billion in the first quarter
Podcast: SocGen quants on exotics calibration, machine learning and autocallable pricing
Deep learning techniques are being explored by the quants to speed up exotics pricing
How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
Equity modelling with local stochastic volatility and stochastic discrete dividends
SocGen quants calibrate local stochastic volatility models with stochastic dividends
SEB purchase saps Danske Bank’s capital ratio
Despite hike in minimum required capital, Danske has ample buffer
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Deutsche Bank fails CCAR; Goldman and Morgan Stanley scrape by
DB USA hit with qualitative fail, while Goldman and Morgan Stanley face dividend and buyback freeze
Zurich builds up capital buffers
Insurer edges toward over-capitalisation on its own measures
Danske Bank targets lower capital ratio
Danish lender bought 6.8 million of its own shares for DKK 1.6 billion
CCAR threatens BNY Mellon dividend payout
Fed's test "noticeably more stringent" - BNY Mellon's Santomassimo