Interest rate risk
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
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