Interest rate risk
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Libor transition and implementation – Covering all bases
Sponsored Q&A
Interest rate derivatives house of the year: Societe Generale
Asia Risk Awards 2019
Insurers slow purchases of eurozone sovereign bonds
Annualised growth rate of government debt holdings falls to 2%
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Sliding rates dent Legal & General’s capital ratio
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
Rates decline sinks Allianz’s Solvency II ratio
Market impacts take 11 percentage points off ratio in first six months of 2019
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
Estimating maturity profiles of nonmaturing deposits
This paper proposes a method to extract deposit lifetime data from individual account transactions.
Poor asset returns threaten EU insurers’ profitability
Life insurers report median zero investment return in 2018
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Japan regulation sparks hunt for new annuity products
Foreign currency products hit by push for transparency on forex risk and charges
Allianz’s solvency ratio dips 11 points
Share buyback, market moves, regulatory tweaks all take their toll on capital
Aussie banks crush IRRBB capital charges
‘Big Four’ cut IRRBB RWAs by A$23 billion year-on-year
Santander's pivot to LatAm hikes trading risk
Interest rate risk in Brazil pushes average VAR higher
Fixed income risk surges 19% at JP Morgan
Fixed income markets revenues came in 18% lower year-on-year
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
Model updates buttress Allianz's solvency ratio
Solvency II requirement less sensitive to rates, credit volatility than 2017
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter