Interest rate risk
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 ...
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...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Interest rate risk articles
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
Solvency II and the economic environment – The effect on Italian insurance
Pension funds and investment firms highlight inflation, interest rate and currency risks of US default in open letters to President Obama
Asian investors broaden their exposure as they seek diversification from the US dollar
The curse of inflation
Race to de-risk
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short...
As the industry calls for less complexity in Solvency II, some are arguing the directive is already dangerously simplistic
In the clear
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the gu...
Returns as important as risk management, say M&G Investments
German corporate pension plans turn their attention to interest rate and inflation hedging
Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion
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.