Asset and liability management (ALM)
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
ERM reboot: how leading insurers are turning risk decisioning into strategic advantage
An expert discussion exploring how leading insurers are adapting ERM systems in support of a wider range of opportunities, helping to avoid losses, navigate unstable markets and maintain a strong reputation
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Incorporating climate risk into ALM frameworks for banks
Banks are coming under increasing regulatory pressure to incorporate climate risk into their risk management frameworks. An emerging focus is incorporating climate risk into the asset-liability management (ALM) function. This webinar explores this new…
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Could a cold collateral winter be coming for pension plans?
UK LDIs passed an early test from rising rates, but margin call pressure is mounting
Archegos revisited: the gaps in Credit Suisse’s story
Ahead of shareholder vote, former execs point to gaps in key report – raising new questions about accountability
Modeling nonmaturing deposits: a framework for interest and liquidity risk management
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
Performance measures adjusted for the risk situation (PARS)
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Interest rate derivatives house of the year: Goldman Sachs
Asia Risk Awards 2020
Mega-hedges and generational strife at PGGM
Buy-side risk survey: for Dutch pension giant, battle between young and old shaped response to March mayhem
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Dynamic refinement of the term structure: time-homogeneous term structure modeling
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
ALM product of the year: Oracle
Asia Risk Technology Awards 2019
The standard market risk model of the Swiss solvency test: an analytic solution
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
EU insurers’ solvency ratios weather UFR change
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets