Interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control...
Limited impact of CPI change on pension funds inflation hedging
Dealers eagerly watch European Central Bank tenders as new maintenance period is set to begin
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
Despite an increase in long-dated interest rates in 2009, the Dutch life insurance sector halved its exposure to declining interest rates last year by massively increasing its use of interest rate derivatives, according to The Dutch Central Bank (DNB)....
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice...
Changes in valuation were “relatively small”, says clearing house
Australia has one of the highest concentrations of equity investments compared with fixed income anywhere in the developed world. But interest in ‘fixed interest’, as it is often termed down under, is growing. Christopher Jeffery reports
Investors have grown increasingly worried about exposures to eurozone sovereigns given the problems faced by Greece and others. Christophe Mianné, head of global markets at SG CIB, warns the second quarter will prove to be tough for the European rates...
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
UK, 18th Dec 2013
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