Reversal of fortune


The precipitous decline in long-term interest rates at the tail end of 2008 caused mayhem for pension schemes and insurers subject to market-consistent regulation of their liabilities. As they attempted to hedge their long-dated liabilities, it simply forced the discount rate lower, thereby increasing the size of their liabilities.

This “ALM death spiral”, as one Swedish insurance risk manager called it (see Life & Pension Risk, February 2009), received much attention but the importance of swap

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: