Interest rate risk
Insurance Risk North America: Insurers must 'break addiction to policy guarantees' in low-rate environment
Lack of product innovation means not enough products work in the low interest rate environment, panellists complain
Reinsurers urged to expand equities allocation amid 'fixed-income bubble' fears
Flight to fixed income exposing reinsurers to low yields and interest and inflation risks
UK banks face up to SME swap misselling claims
Sales of the unexpected
Sponsored roundtable: Solvency II and the economic environment – The effect on Italian insurance
Solvency II and the economic environment – The effect on Italian insurance
US focus: Q&A with Gideon Pell, New York Life
‘Capital is like a reservoir’
Pension funds urge US Congress to act fast on debt-ceiling deal
Pension funds and investment firms highlight inflation, interest rate and currency risks of US default in open letters to President Obama
Video: De-risking pension liabilities
Emanuel Eftimiu speaks to Kelvin Wilson, associate director, Grant Thornton about defined pension fund liabilities and what they mean for private equity buyers.
Asian investors broaden their exposure as they seek diversification from the US dollar
Asian investors broaden their exposure as they seek diversification from the US dollar
Vigilance needed to prevent curse of inflation in Asia
The curse of inflation
Japan disaster has broad impact across asset classes
Race to de-risk
Yen interbank funding market calm as government bond yields retrace
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-end JGBs.
Simplistic nature of Solvency II standard formula gives regulatory arbitrage potential
As the industry calls for less complexity in Solvency II, some are arguing the directive is already dangerously simplistic
Valuation of with-profit insurance policies with interest rate guarantees
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 guarantee rate based on an average of long-term interest…
A focus on LDI counterproductive for pension funds – M&G Investments
Returns as important as risk management, say M&G Investments
Financial crisis whets appetite for LDI by German pension funds
German corporate pension plans turn their attention to interest rate and inflation hedging
Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion
Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion
House of the year
Structured Products Europe Awards 2010
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
Two curves, one price
Interest Rate Derivatives
Nordic insurers’ interest rate mismatch significant but improving
Better ALM practice behind Nordic insurer's reduced exposure to interest rate mismatches
FOMC faces tricky task in avoiding another bubble
FOMC officials’ pessimism about conditions highlights challenge central bank faces in fulfilling its dual mandate
Mortgage lenders fret over FASB hedging proposals
Popular risk mitigation strategies could be sunk by new rules on the designation of hedges
Inverted swap spreads change insurer’s and pension fund’s hedging approach
Inverted swap spreads have defied earlier predictions that they were a short-term aberration to still be a feature 18 months after their first appearance. Is this set to continue and, if so, does it pose an opportunity for pension schemes and insurers?…