A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
CLICK HERE TO DOWNLOAD THE PDF
Long-term bonds are riding a wave of popularity, especially for high-quality issuers such as sovereigns, supranationals and agencies. Austria’s 100-year government bond, for instance, was nearly nine times oversubscribed on launch last year.
For banks, the appeal of these bonds is the slightly higher yields, quasi risk-free nature, and ability to act as a high-quality liquid asset. Asset managers are drawn to longer-dated assets to match the lengthening duration
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Comment
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News
Op risk data: Lloyds lurches over £450m motor finance speed bump
Also: JPM trips up on trade surveillance; Reg Best Interest starts to bite. Data by ORX News
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
Op risk data: Morgan Stanley clocked in block trading shock
Also: HSBC deposit guarantee gaffe; Caixa hack cracked; reg fine insult to cyber crime injury. Data by ORX News
Digging deeper into deep hedging
Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
Op risk data: US piqued by Pictet tax breach
Also: US Bank’s Covid failings; South Korea’s short-selling clampdown. Data by ORX News
