Yield curve
PrinceRidge sings the praises of structured products
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 learned in 35 years on Wall Street
What Libor reform will change – and what it won’t
What Libor reform will change – and what it won’t
Marketing campaign of the year
Marketing campaign of the year
Omnibus II needed to meet Solvency II deadline
German insurer R+V says EC was "lucky" Omnibus II was available to add transitional measures into the impending insurance capital regime
Yield evaluation using median spread curves: Jerry Tempelman column
Ahead of the curve
Reconsidering the fixed-floating mix
Yield curves for sterling, the euro and the dollar are the steepest they have been for well over a decade, leaving companies with outstanding fixed-rate debt and large amounts of cash on balance sheets facing significant negative carry. Many corporates…
Negative carry presents corporate hedging conundrum
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
More to play for
Harry Harrison, head of rates trading at Barclays Capital, talks to Alexander Campbell
Scaling the peaks on 3s/6s basis
Some banks are drawing attention to a widening in the basis between three-month and six-month Euribor, as financial institutions are forced to use longer-term funding to eliminate mismatches on their balance sheets. How are banks responding? By Duncan…
Information of interest
The flow of information in financial markets on future liquidity risk generates the rise and fall of demand for default-free bonds. Here, Dorje Brody and Robyn Friedman present an approach to pricing these bonds and the associated derivatives, based on…
When did the JGB market become efficient?
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…
When did the JGB market become efficient?
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…
Mixed default modelling
Structural and reduced-form models are two well-established approaches to modelling afirm’s default risk. Here, Li Chen, Damir Filipovic/ and Vincent Poor develop a new default riskmodelling strategy based on combining these two frameworks in order to…