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Traditionally, insurers value liabilities that are sensitive to interest rates with reference to a Libor curve – the benchmark interest rate curve for inter-bank lending. This made sense and kept things relatively simple when hedge assets and associated collateral were also discounted using Libor.
But this is no longer always the case. Since the financial crisis, the market has moved to using an overnight index swap (OIS) curve to discount the cash collateral att
The week on Risk.net, July 14–20, 2017Receive this by email