Equity risk management
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
Fixed income risk surges 19% at JP Morgan
Fixed income markets revenues came in 18% lower year-on-year
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
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
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
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
Axa's solvency ratio soars on US IPO, debt issue
Solvency II SCR ratio up to 233%