ABSTRACT This paper assesses the relative performance of yield curve strategies involving bullet and barbell portfolios due to changes in the shape of the yield curve via shocks to the Dow Jones index....
Drop in ECB AAA curve will also affect German insurers’ guarantees reserves
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Yield curve articles
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...
Ahead of the curve
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
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.