The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
This paper analyzes the impact of oil market uncertainty on the level, slope and curvature factors derived from the term structure of US interest rates.
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Funds cautious after staggering collapse of the year’s steepener trade
New model makes it easier to coherently price correlated derivatives
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
This paper develops different techniques for interpreting yield curve scenarios generated from the FRB’s annual CCAR review.
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
Some hedge funds believe popular bets on rise in US inflation have run out of steam
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…
Investment spread at retirement and income solutions unit down to 1.02%
An estimated $60 billion of structured notes are at risk of being called before year-end
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
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