Interest rate risk
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.
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
RBS takes axe to NatWest Markets
Bank plans to slim trading operation to 10% of total RWAs
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
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