Interest rate risk
An evaluation of interest rate risk tools and the future of asset/liability management
Sponsored statement: Moody's Analytics
Insurers prepare for interest rate hikes
Rate of relief
Basel faces challenge on charge for interest rate risk in the banking book
Rates expectations
Basel Committee has work cut out on interest rate risk charge
Basel Committee taskforce starts work to develop a Pillar I charge for interest rate risk in the banking book, but some bankers and former regulators say the challenges will be too great
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…
Regulatory concerns mount as Dutch insurers maintain guarantees
Race to the bottom
Insurance Risk North America: Insurers must 'break addiction to policy guarantees' in low-rate environment
Lack of product innovation means not enough products work in the low interest rate environment, panellists complain
Reinsurers urged to expand equities allocation amid 'fixed-income bubble' fears
Flight to fixed income exposing reinsurers to low yields and interest and inflation risks
UK banks face up to SME swap misselling claims
Sales of the unexpected
Sponsored roundtable: Solvency II and the economic environment – The effect on Italian insurance
Solvency II and the economic environment – The effect on Italian insurance
US focus: Q&A with Gideon Pell, New York Life
‘Capital is like a reservoir’
Pension funds urge US Congress to act fast on debt-ceiling deal
Pension funds and investment firms highlight inflation, interest rate and currency risks of US default in open letters to President Obama
Video: De-risking pension liabilities
Emanuel Eftimiu speaks to Kelvin Wilson, associate director, Grant Thornton about defined pension fund liabilities and what they mean for private equity buyers.
Asian investors broaden their exposure as they seek diversification from the US dollar
Asian investors broaden their exposure as they seek diversification from the US dollar
Vigilance needed to prevent curse of inflation in Asia
The curse of inflation
Japan disaster has broad impact across asset classes
Race to de-risk
Yen interbank funding market calm as government bond yields retrace
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short-end JGBs.
Simplistic nature of Solvency II standard formula gives regulatory arbitrage potential
As the industry calls for less complexity in Solvency II, some are arguing the directive is already dangerously simplistic
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
A focus on LDI counterproductive for pension funds – M&G Investments
Returns as important as risk management, say M&G Investments
Financial crisis whets appetite for LDI by German pension funds
German corporate pension plans turn their attention to interest rate and inflation hedging
Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion
Inverted swap spreads see ATP outshoot liabilities by Dkr16.5 billion