Interest rate risk
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Generali boosts capital with sale of German unit
Offloading Generali Leben will bolster group's SCR by 2.6%; Generali Deutschland's by 43%
Prime move for Citi’s head of European rates sales
Pauwels will lead bank’s North American prime business, after a decade in rates
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
BP net derivative assets top $1.5 billion
Hedging instruments fair values rise while oil prices surge
General Motors embraces hedge accounting change
Automaker ramps up cash flow hedging in wake of FASB update
Ford reports $204 million derivatives charge
Foreign exchange and commodity contracts fall in value
Rising rates hit Chubb's portfolio
US insurer posts $1 billion in realised and unrealised losses
US banks weather Libor basis spike
Thirty-plus basis point divergence recorded in first three months of 2018
State Street bolsters liquidity buffers
HQLA share of investment portfolio grows from 61% to 70% in the first quarter
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Risk solutions house of the year: Nomura
Risk Awards 2018: From reinsurance contracts to deal-contingent hedges, Japanese firm proves brains can triumph over brawn
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Emir review could push securitisations into the dark
Subjecting deals to margin requirements would be a further blow to STS securitisation concept
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors