Interest rate risk
First public consultation expected this month in long-running project
The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are oft...
More Interest rate risk articles
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Charge was felt to be "too difficult to capture" without complex rules
But industry sees less interest rate risk and inversely exposed to volatility
QIS was due to get under way last month but will now start in mid-2015
First consultation paper on banking book interest rate exposure is expected in March
Quarter of firms would suffer negative cashflows in prolonged low interest rate scenario
Regulators could cap the maturity banks assume for large chunks of their deposit base
Current plans unsatisfactory, says industry association
Extracting interest rate sensitivity through bond-based ETFs
Negative carry versus short-term rates is deterring firms from hedging
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.