Interest rate volatility
Covid-19: Pandemic risk – Special report 2020
The economic devastation wrought by Covid-19 is already significant: the hits to employment, gross domestic product and other key macro factors regulators ask banks to test to has already surpassed supervisors’ severely adverse scenarios, and shows every…
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Wrong-way risk of interest rate instruments
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
Monthly swaps data review: a day in the life of a swap
As US rate-setters met last month, real-time reporting showed the impact on swaps
Formosas, the Fed, and the billion-dollar Bermudan trade
Rates options desks on alert as decline in Formosa bond issuance could hit profits and raise US volatility