Interest rate risk
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
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