Interest rate risk
Regulators working on Pillar II guidance as well as fixed capital regime
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
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Interest rate risk articles
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
Sponsored statement: Moody's Analytics
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
Race to the bottom
This paper examines the empirical relationship between credit risk and interest rate risk. We use credit default swap (CDS) spreads as our measure of credit risk. Also, we control for the variation in...
Lack of product innovation means not enough products work in the low interest rate environment, panellists complain
Flight to fixed income exposing reinsurers to low yields and interest and inflation risks
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.