Liability hedging without the tears

Interest rates

interestrates-1-gif

Dealers are warily eyeing the European pension and insurance industry’s liability hedging needs. And with good reason – the last time these entities rushed to market, in 2001, to buy options as investments and hedges on the investments backing their guaranteed annuity obligations (GAOs), it caused a surge in long-dated volatility that caused a number of inadequately hedged dealers and other market participants some significant pain (Risk December 2001, page 6).

In the last few months of 2001, Dan

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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 indvidual account here: