Interest rate risk
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Basel interest rate risk disclosures "problematic"
IRRBB could reveal commercially sensitive information and mislead analysts
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
Nonmaturity deposits and banks’ exposure to interest rate risk: issues arising from the Basel regulatory framework
The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are often ignored.
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Largest funds face more equity and credit risk six months on
But industry sees less interest rate risk and inversely exposed to volatility
Impact study postponed for Basel rate-risk project
QIS was due to get under way last month but will now start in mid-2015
Basel rates split heralds soft landing, banks hope
First consultation paper on banking book interest rate exposure is expected in March
Banking book rate risk project splits in two
Regulators working on Pillar II guidance as well as fixed capital regime
EU insurance stress tests reveal industry vulnerability to ‘Japanification’
Quarter of firms would suffer negative cashflows in prolonged low interest rate scenario
Basel rate-risk project sets up scrap over deposit models
Regulators could cap the maturity banks assume for large chunks of their deposit base
German banks attack Basel charge for banking book rate risk
Current plans unsatisfactory, says industry association
iShares offers shorter-duration ETFs as rate rise looms
Extracting interest rate sensitivity through bond-based ETFs
In-depth introduction: Interest rate risk
Banks, insurers and others all share a problem: anticipating rising rates
US regional banks prepare for rising rates
With regulators watching closely, US banks are reining in the duration of bond portfolios
Asia corporates hesitate to hedge out interest rate risk
Negative carry versus short-term rates is deterring firms from hedging
Hedge funds wary of betting on rates
Managers cite 2013 fixed-income rout as reason for caution
Yellen faces a logistical nightmare
The impending transition from Ben Bernanke to Janet Yellen at the US Federal Reserve is taking place at a particularly sensitive time, argues David Rowe – the new chair faces the logistical nightmare of unwinding a massive increase in the central bank’s…
Risk USA: Buy-side prepares for fixed-income storm
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives