Interest rate risk
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
Pinning down portfolio risk
Fixed-income modelling
In pursuit of returns
Institutional investors
Swap spreads uncovered
Sponsor`s statement
Convexity hedging and its impact on US swap spreads
Sponsor`s statement