Interest rate derivatives
The International Capital Market Association task force on repo indexes is evaluating new benchmarks for European repo markets. In a roundtable forum convened by Risk and sponsored by Stoxx, a panel of...
Interest rate liberalisation in China is already driving rates up – and dealers onshore are bullish that the largest untapped IRS market in Asia will soon burst into life. The question is when?
Launch of exchange-traded interest rate futures offers hedging alternatives
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Interest rate derivatives articles
An expected rise in interest rates will leave many entities facing hefty collateral calls, potentially creating a liquidity squeeze. Goldman Sachs has worked to help clients deal with this potential problem
Typical implementations of the stochastic alpha beta rho model involve asymptotic expansion approximations, which can generate inaccurate prices for long-dated options. But directly solving a pricing partial differential equation incurs high computational...
Low interest rates revealed weaknesses in the industry’s standard fixed-income derivatives pricing model. Risk’s technical articles this year tackled the problem in diverse ways. Laurie Carver gives an overview and introduces the annual roundup of...
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s traditional hedge for this risk now too pricey,...
Indian regulators try an under-the-radar approach to launching a domestic interest rate futures market
Legacy issues and the lack of alternative benchmarks mean Libor will remain the default benchmark of choice for OTC transactions
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future