Interest rates
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Goldman’s veteran rates head moves to risk role
Three co-heads named after Pantazopoulos ends nine-year run at the head of rates group
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
BIS’s Shin links dollar strength to global malaise
Head of research outlines how dollar strength affects leverage globally, causing deviations from covered interest parity and potentially impacting growth and trade
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns based on a global structure in the form of principal components and a novel quasi-local representation for the residuals
Interest rates house of the year: Societe Generale Corporate and Investment Banking
Multi-asset capabilities and risk recycling allow the bank to bring hit solutions to the market
Sterling swap rate collapse hits structured deposits
Post-Brexit halving of five-year swap rate sees Hartmoor pull FTSE deposit plans
Fed data dependency backfires
The past year has seen a huge change in the formation of rate expectations
Risk South Africa Rankings 2015: The results
Dwindling liquidity in the rand rates swap market, combined with jitters over the timing of US interest rate rises, have made the last 12 months tricky for banks in the South African market
Liquidity biggest worry for RWE Supply & Trading CRO
The varied career of Uwe Schulz, CRO of RWE Supply & Trading, has led him to appreciate the dangers of liquidity risk – something that is particularly relevant in today’s energy market environment
Cutting Edge introduction: Sticky SABR
Negative interest rates are tricky to model accurately, but quants at Numerix have developed a technique to better capture their dynamics, without the hassle involved in using shifted models
Interest rates house of the year: Societe Generale
A blockbuster range of steepener products, together with pioneering launches in the Formosa bond market and the China cross-border financing trade, sees Societe Generale ride out the winner in this category for the second year in a row
The free boundary SABR: natural extension to negative rates
In the current low interest rate environment, extending option models to negative rates has become an important issue. Here, Alexandre Antonov, Michael Konikov and Michael Spector extend the widely used SABR model to the free boundary SABR model that can…
Korea insurers increase risk to counter falling interest rates
Loose monetary policy leaves firms with no option but to buy overseas assets to meet return targets
EBA rate risk guidelines ease deposit cap
Greater flexibility welcomed, but problems may remain for mortgage lenders
China rate cut boosts offshore structured product market
High-net-worth investors pile into dollar and commodity structures as PBoC loosens
Corporates eye cross-currency swaps as Euribor sinks
The European Central Bank cut its benchmark interest rate to 0.05% in September 2014, tempting some corporates to swap their debt into euros and cut their debt service costs. But some see hidden dangers
Finra maintains scrutiny of retail structured products
Structured products targeted at retail investors will remain under intense regulatory scrutiny in 2015, as will products that are sensitive to a change in interest rates
Eiopa Insurance Stress Test – Should alarm bells be ringing?
The European Insurance and Occupational Pensions Authority’s (Eiopa) disclosure of the results of its stress-test analysis, Eiopa Insurance Stress Test 2014, provides an insightful look at the key solvency positions and asset-liability mismatches of…
L&G predicts central bank divergence on interest rates
Legal & General Investment Management forecasts differing interest rate policies; equity and bond markets prove resilient despite summer dip; trading in investment and leverage products fell across Europe in Q2
Interest rates house of the year: Societe Generale
Fast responses and an innovative take on the interest rate market forms the basis of Societe Generale's success in this year's interest rates house of the year category
Best in Indonesia: CIMB Niaga
Deprived of linking its domestic structured products to equities and the US dollar/rupiah exchange rate, CIMB Niaga has made a success of turning to interest rate products
The creation of structured products and Societe Generale's role in this innovation
Societe Generale was at the forefront of creating a cross-asset structured products team, which continued to cement the French bank as one of the leading innovators in the industry. Hubert Le Liepvre and Marc El Asmar discuss the creation of structured…
Allocations shifting away from fixed income, says Mariner
Credit and equity market volatility plus expected central bank moves are creating a stronger rates trading environment and may lead to an asset allocation shift away from fixed income, says Mariner