Managing interest rate risk for non-maturity deposits

An important goal in modelling non-maturity deposits1 is to find an investment strategy that stabilises the margin independently of interest rate movements. Sales departments prefer a stable margin to help them project and manage their income accurately.

The commonly used replicating portfolio model targets stabilising margins. However, this model contains a static investment rule that does not take into account current markets, which limits its performance. A step forward was taken by Jarrow &

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Counting down to dollar Libor transition

In a webinar, experts discussed the impact of market volatility on Libor transition, the availability of term SOFR, developments in non-linear markets and management of forthcoming CCP conversions

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