Technical paper/Foreign exchange
Improving annuity pricing with address data
Technical papers
Inflation ist normal
Der Neueste Stand - Inflationsderivate
Structural modelling of subprime mortgages
With the economy still suffering from the waves of the credit crunch, triggered by a housing price slump, Yong Kim provides a structural model of subprime mortgages based on housing market risks. Given the enormity of the subprime mortgage market failure…
Valuation and risk analysis for Dutch pension schemes
Technical papers
Estimating intrinsic currency values
Forex market practitioners constantly talk about the strengthening or weakening of individual currencies. In this article, Jian Chen and Paul Doust present a new methodology to quantify these statements in a manner that is consistent with forex market…
On the cost of regulation under Solvency II
Technical papers
Das Kontrahentenrisiko und CCDSs unter Korrelation
Der Neueste Stand - Hybrid-Risiko
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs), with a close look at CDOs of subprime residential mortage-backed securities
Portfolio modelling of counterparty reinsurance default risk
Technical papers
Modelling default rate in a retail portfolio and the estimation of portfolio risk
Considering correlation as the major driving factor for portfolio risk, Farshad Mashayekhi and Joy Wang present a methodology for the estimation of correlation among retail exposures based on historical default rates in pools of retail accounts. The…
Interest rate risk of mortgage servicing rights
Dick Boswinkel and Kent Westerbeck examine the behaviour of mortgage servicing rights' duration and convexity and explain how they relate to the prepayment assumptions used in valuing MSRs
Future mortality improvements in the ^G7 countries
Technical papers
Kalibrierung der Laufzeitstrukturen der Ausfallwahrscheinlichkeiten
Der Neueste Stand: Kreditrisiko
The contractual trust arrangement
Technical papers
Assets relative risk for long-term investors
Technical papers
Contributi al rischio di fattori generici definiti dall'utente
Approfondimenti - Gestione degli investimenti
Taking stock of Pillar II
Technical papers
Modellierung von Inflation
Der Neueste Stand: Inflation
Hedging for the duration
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk dynamics of hedging mortgages and why duration is a…
The true cost of no-cost mortgages
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of…