Interest rate risk
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
House of the year
Structured Products Europe Awards 2010
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
Two curves, one price
Interest Rate Derivatives
Nordic insurers’ interest rate mismatch significant but improving
Better ALM practice behind Nordic insurer's reduced exposure to interest rate mismatches
FOMC faces tricky task in avoiding another bubble
FOMC officials’ pessimism about conditions highlights challenge central bank faces in fulfilling its dual mandate
Mortgage lenders fret over FASB hedging proposals
Popular risk mitigation strategies could be sunk by new rules on the designation of hedges
Inverted swap spreads change insurer’s and pension fund’s hedging approach
Inverted swap spreads have defied earlier predictions that they were a short-term aberration to still be a feature 18 months after their first appearance. Is this set to continue and, if so, does it pose an opportunity for pension schemes and insurers?…
Interest rates: direction dilemmas
The final quarter of 2009 saw product creators gripped by uncertainty over which way interest rates were heading. With a steep yield curve making investment in rates products expensive, bankers are seeking the best trade for uncertain times. Will the…
Downward spiral
ALM
Managing interest rate risk for non-maturity deposits
Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge strategies to stabilise the margin between investment return and client coupon. As extensions of Jarrow & van Deventer's model, these strategies can be used for both interest rate risk…
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Interest rate risk principles released by Basel Committee
The Basel Committee on Banking Supervision released "Principles for the management and supervision of interest rate risk" late last week.
Basel Committee releases interest rate risk document
The Basel Committee on Banking Supervision released another draft of the "Principles for the Management and Supervision of Interest Rate Risk" this morning.
Fixed or floating?
Corporate debt
Filling the inflation gap
Index-linked securities
Marrying portfolios and PCA
Principal components analysis
A long way from success
Electronic trading