Interest rate risk
Banks are advising companies to protect themselves against an expected rise in interest rates. But with rates so low and the cost of swaps so high, does hedging really make sense?
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More Interest rate risk articles
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
The nature of risk management is evolving rapidly. Regulatory pressure to integrate across the taxonomy of risk types is forcing banks to improve their enterprise risk management (ERM) practices and invest in centralised data infrastructure and software....
Insurers desperate for a change to the low interest rate environment might want to be careful what they wish for, as higher interest rates could lead to an increase in policy surrenders. Hugo Coelho reports on how some insurers have started to adjust...
It’s no secret that bank regulators are looking to fill a gap in the capital framework by introducing a charge for interest rate risk in the banking book. But with the rules likely to arrive as rates start to be hiked, there’s a lot riding on the...
Basel Committee taskforce starts work to develop a Pillar I charge for interest rate risk in the banking book, but some bankers and former regulators say the challenges will be too great
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit...
Dutch insurers have strongly resisted pressure to drop guarantee levels despite plunging interest rates and mounting regulatory concerns. With surplus capital quickly being eaten up to support these uneconomic guarantees, how long can the Dutch market...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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