Drop in ECB AAA curve will also affect German insurers’ guarantees reserves
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...
PrinceRidge Group distributes structured products to a client base that includes leading broker-dealers across the US. Yakob Peterseil talks to managing director Joe Castelluccio about what he has l...
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Yield curve articles
Ahead of the curve
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.