Dividends
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
US Bancorp unfazed by Fed’s new capital buffer
Lender targets dividend payout ratio of 40%
Goldman shakes off tax reform capital effects
Stronger regulatory ratios support capital distributions
Trump tax reform sours US banks’ CCAR outlook
Tax changes hit bank capital ratios; Goldman, AmEx could fail Fed’s annual tests
FDIC’s Hoenig warns on relaxing bank capital requirements
In letter to Senate committee, regulator claims big banks are less well-capitalised
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Synth City: how synthetic dividends could save autocallables
New indexes promise higher coupons and lower dealer hedging costs
Equity derivatives house of the year: BNP Paribas
Innovative risk-offloading trades enable the bank to power ahead of its rivals
US dividend tax breaches international treaties, say lawyers
Section 871(m) rules “full of holes”, say dealers
Risk managers hold key to clarity on dividends
Absence of cash metric under Solvency II puts capital constraints in spotlight
Dealers vent frustration at Section 871(m) hold-up
US dividend-equivalent tax change will hit high-delta products with withholding tax
Questions over event driven activists adding value
But strategy among highest returns this year