Flatter US yield curve spurs demand for a product with a painful history
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
In this paper, the author expands standard yield curve fitting techniques to artificial intelligence methods.
Previous bets on US interest rate curve flopped following unexpected flattening
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy
This paper extends a technique devised by Saroka and Rebonato to “optimally” deform a yield curve in order to deal with a common and practically relevant class of optimization problems subject to linear constraints.
Risk Awards 2018: New swap futures pricing curve removes hurdle for real-money users
Risk Awards 2018: New DMO is building a benchmark curve that could spur local capital markets
Sponsored Q&A: Buy-Side Awards 2016 | Tudor Investment Corporation
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Drop in ECB AAA curve will also affect German insurers’ guarantees reserves
PrinceRidge Group distributes structured products to a client base that includes leading broker-dealers across the US. Yakob Peterseil talks to managing director Joe Castelluccio about what he has learned in 35 years on Wall Street
What Libor reform will change – and what it won’t
Marketing campaign of the year
German insurer R+V says EC was "lucky" Omnibus II was available to add transitional measures into the impending insurance capital regime
Ahead of the curve
Yield curves for sterling, the euro and the dollar are the steepest they have been for well over a decade, leaving companies with outstanding fixed-rate debt and large amounts of cash on balance sheets facing significant negative carry. Many corporates…
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
Harry Harrison, head of rates trading at Barclays Capital, talks to Alexander Campbell