This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Asia Risk Awards 2020
Buy-side risk survey: for Dutch pension giant, battle between young and old shaped response to March mayhem
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
Asia Risk Technology Awards 2019
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
Reinsurer clips US, UK, Italy holdings
Sponsored video: Luis Mataias, IBM Watson Financial Services
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Clampdown on overseas investment fuels pressure to find long-duration domestic assets
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Iain Forrester, investment director, insurance solutions at Standard Life investments, considers the risks and advantages of investing in multi-asset funds
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Differing discount methods and EVE approach will need explaining to investors
Credit Suisse among banks that have expanded their second line of defence, conference hears