Interest Rate Risk

Content type

Practice Areas

Publication Types

Content type	Date Sort ascending	Title	Tags
ERM Resource	17/05/2019	Evaluating the solvency capital requirement of interest rate risk in Solvency II	Interest Rate Risk Interest Rate Risk Regulation
ERM Resource	17/05/2019	Interest Rate Risk Management in Uncertain Times	Interest Rate Risk Interest Rate Risk Risk Management Tools and Techniques
ERM Resource	17/05/2019	Continuous focus on interest rate risk: EBA finalizes IRRBB Guideline	Interest Rate Risk Interest Rate Risk Regulation
ERM Resource	17/05/2019	The new normal	Interest Rate Risk Interest Rate Risk Risk Management Tools and Techniques Volatility risk Volatility Risk
ERM Resource	17/05/2019	The Financial Economics of Hedge Accounting of Interest Rate Risk according to IAS 39	Interest Rate Risk Interest Rate Risk Risk Management Tools and Techniques
ERM Resource	07/09/2017	Risk Optimisation: Finding the Signal in the Noise	Case study equity risk Interest Rate Risk Monte Carlo Simulations Optimisation Risk Optimization
ERM Resource	07/09/2017	Solvency II Solvency Capital Requirement for life insurance companies based on Expected Shortfall	equity risk expected shortfall Interest Rate Risk Longetivity Risk Regulation Solvency Capital Requirement Solvency II value-at-risk
ERM Resource	07/09/2017	The financial risk management of the Eurosystem’s monetary policy operations	Counterparty Default Risk credit risk Economic / Risk Based Capital eurosystem Interest Rate Risk Liquidity Risk Market Risk monetary policy operational risks risk reporting and monitoring risks
ERM Resource	04/08/2015	The Volatility of Low Rates	history of interest rate volatility Interest Rate Risk Japanese rates log-normal No category normal Swiss rates Value-At-Risk Back-tests
ERM Resource	30/07/2015	Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates	Demographic Risk Interest Rate Risk Risk Management Tools and Techniques
ERM Resource	30/07/2015	Modelling extreme market events	Extreme Extreme Event Risk Interest Rate Risk market events Risk Management Tools and Techniques
ERM Resource	29/07/2015	Pricing and Hedging Guaranteed Annuity Options via Static Option Replication	Interest Rate Risk Interest Rates/Derivatives Risk Management Tools and Techniques
ERM Resource	29/07/2015	Interest rate risk factors in the Australian bond market	Case Studies Interest Rate Risk Interest Rates/Derivatives Risk Management Tools and Techniques
ERM Resource	29/07/2015	Pricing rate of return guarantees in a heath Jarrow Morton framework	Interest Rate Risk Interest Rates/Derivatives Risk Management Tools and Techniques
ERM Resource	29/07/2015	Interest Rate Risk Modelling	Interest Rate Risk Interest Rates/Derivatives Risk Management Tools and Techniques