Interest rate risk
The impending transition from Ben Bernanke to Janet Yellen at the US Federal Reserve is taking place at a particularly sensitive time, argues David Rowe – the new chair faces the logistical nightmare...
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...
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 risk articles
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...
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 the so-called fair-value spread that combines multiple...
Lack of product innovation means not enough products work in the low interest rate environment, panellists complain
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
UK, 12th Feb 2014
UK, 13th Feb 2014
UK, 19th - 20th Feb 2014
Germany, 25th Feb 2014
Updating your subscription status
Risk iPad and iPhone Apps