Euribor

Pension fund risk manager of the year: PKA

After moving to Eonia discount rates for its swaps in 2011, Denmark's PKA decided to make Eonia the benchmark for its hedge portfolio at the end of 2012. It's a smart move, dealers say - but one with some risks of its own

Lois: credit and liquidity

The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…

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: