This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
As US rate-setters met last month, real-time reporting showed the impact on swaps
Rates options desks on alert as decline in Formosa bond issuance could hit profits and raise US volatility