Equity risk management
Japanese megabank JGB portfolios shrink
Domestic government bond holdings drop 12% in 2018
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
Axa's solvency ratio soars on US IPO, debt issue
Solvency II SCR ratio up to 233%
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
BNPP beats SG on equity trading
Equity and prime services revenues surge 19.3% at BNPP
Axa tackles equity risk
Efforts to reduce equity SCR boost Solvency II ratio by eight basis points
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
Largest funds face more equity and credit risk six months on
But industry sees less interest rate risk and inversely exposed to volatility
Trade of the month: Risk assessment
Trade of the month: Risk assessment
Insurers increase equity exposure despite risk management challenges
Joining the equity rotation
NZX to launch equity derivatives market
New Zealand Stock Exchange to launch equity derivatives to meet demand for hedging instruments
Managing Solvency II's equity capital charge
The volatility challenge
Edhec develops framework for Solvency II equity risk management
Formula for risk control framework can optimise equity risk capital costs, claims research body
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Deutsche pips UBS to BT Financial deal
Deutsche Bank has secured a contract to offer CPPI to clients of BT Financial in Australia, via its wrap platform.
Basel Committee continues to reject equity for the LCR
Equities do not have the necessary characteristics to be included in the liquidity coverage ratio, says general secretary Stefan Walter – but some banks disagree
Increased correlation with equities poses dividend dilemma
Ahead of the curve
Event risk modelling for equities
Event risk modelling for equities
Event risk modelling for equities
Event risk modelling for equities
FTSE Diversification index series as the 'way forward'
FTSE Diversification index series as the 'way forward'
New State Street index measures fragility of US equity markets
State Street launches index measuring elasticity of US equity markets
Index round-up: Barclays offers mean reversion
Index round-up: Barclays offers mean reversion