As interest rates rise, big fixed-rate receivers such as pension funds will all slide out-of-the-money at the same time, potentially triggering huge margin calls. Some are already trying to soften the...
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.
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Asia Risk awards 2013 winner: BNP Paribas – Interest Rate Derivatives House of the Year
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Libor rigging has been seen as a rates market problem, but it also tainted the foreign exchange market – forcing banks to pick and choose even more carefully as they add extra staff for a surge in currency forwards activity. By Michael Watt
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it...
Banks are staffing up for a livelier foreign exchange forwards market, but taint of Libor rigging is limiting pool of new traders
Based on 200 years of annual data from the Netherlands, Germany, the United States and Japan we analyze the mean reversion of long-term interest rates using unit root tests over rolling windows and taking into account structural breaks and regime changes....
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
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