Interest rate risk
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
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve