Interest rate risk
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
Hedging gains boost MetLife earnings
US insurer posts $939 million in net derivatives gains in the fourth quarter
BNP Paribas’ VAR soars 17% after brutal Q4
Equity revenues fall 70% on year-ago quarter
Japanese megabank JGB portfolios shrink
Domestic government bond holdings drop 12% in 2018
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Solvency II special measures boost EU insurers’ capital ratios
Median insurer's SCR ratio would be 24 percentage points lower without LTG and transitional benefits
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Balance-sheet interest rate risk: a weighted Lp approach
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Axa's solvency ratio soars on US IPO, debt issue
Solvency II SCR ratio up to 233%
In ongoing drive, Shell slashes debt by almost $8 billion
Gearing ratio down 220 basis points year to year