Interest rates
Index innovation - BNP Paribas
Given that the past year’s financial crisis originated in credit markets, interest rates have been a central part of the narrative. Erratic movements in rates increased the importance of accurate tracking...
RBS issued a one-year income product linked to five Japanese stocks in March 2008, paying 3% interest plus a variable capital repayment. Three of the stocks fell through their barriers, putting capital...
Deutsche Bank Corporate treasurers and institutional investors have had a lot to deal with during the past year. First they had to restructure problematic derivatives trades, which had gone awry for...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Interest rates articles
Investors use products to make money on low rates
Canny investors around the world are using yield-enhancing structured products to make money off the back of central banks' attempts to hold interest rates down at historically low levels. Most of the demand is for US dollar-based products but, in an...
Building a new house
International Derivatives Clearing House, a new clearing service for interest rate swaps, was launched in December. Christopher Edmonds, its chief executive, talks to Ryan Davidson about the venture
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are extremely...
Feeling deflated
The consensus is that interest rates are headed for zero in 2009, with even the long end of the curve looking depressingly flat. William Rhode looks at how structured products are likely to function in such an environment - from both an issuer and investor...
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are extremely...
Interest Rates House - BNP Paribas
The market dynamic that existed before the euro curve's unexpected and sharp inversion was characterised by hordes of structured interest-rate players selling bundles of constant maturity swap (CMS) structures, particularly with digital triggers. Meanwhile,...
Valuing Tips bond futures with the Jarrow-Yildirim model
Hongming Huang and Yildiray Yildirim apply the Jarrow-Yildirim model to derive a closed-form solution for Treasury inflation-protected securities (Tips) futures. With the issuance of inflation-protected bonds and the impact of inflation on financial markets,...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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