French insurer’s core ratio has dropped 18 percentage points year-to-date
One-third of outstanding notes issued out of non-Libor countries
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Chris Dias and Chris Long, principals and global Libor solution co-leads, discuss key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and…
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Bank plans to slim trading operation to 10% of total RWAs
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Tough trading quarter could also have pushed VAR-based charges higher
French bank also reported a VAR breach in Q3
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Asia Risk Awards 2019
Annualised growth rate of government debt holdings falls to 2%
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
Market impacts take 11 percentage points off ratio in first six months of 2019
Risk of loss down 17% quarter-on-quarter
This paper proposes a method to extract deposit lifetime data from individual account transactions.