Asset and liability management (ALM)
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
Balance-sheet interest rate risk: a weighted Lp approach
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
Munich Re adjusts sovereign portfolio
Reinsurer clips US, UK, Italy holdings
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
The benefits of full valuation ALM
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China’s insurers wrestle with ALM as liabilities lengthen
Clampdown on overseas investment fuels pressure to find long-duration domestic assets
Insurers’ losses shine light on swaps accounting
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Sponsored video: Iain Forrester, Standard Life Investments
Iain Forrester, investment director, insurance solutions at Standard Life investments, considers the risks and advantages of investing in multi-asset funds
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
Banks under pressure to boost treasury risk oversight
Credit Suisse among banks that have expanded their second line of defence, conference hears
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
A risk-based performance pipe dream?
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Negative swap spreads hit bank capital buffers
Portfolios of asset-swapped US Treasuries see mark-to-market losses of up to 20bp
Insurers must perform balancing act
Winners' Circle: RBS
Best bank, ALM and rates/inflation: Royal Bank of Scotland
Focus on core strengths proving successful with insurance clients
New RBC regime sees China insurers overhaul products and ALM
China's new insurance solvency regime starting to impact the market
Asian insurers recoil from structured products
Institutional and regulatory barriers blamed for poor take-up of derivatives by life companies
The management of refinancing risk in Islamic banks
This paper investigates the risk engendered by maturity mismatches.
Depositors feeling the pinch as banks bow to Basel III
Seven firms say deposit business is being complicated by LCR and leverage rules
EBA rate risk guidelines ease deposit cap
Greater flexibility welcomed, but problems may remain for mortgage lenders
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules