Interest Rate Derivatives
32 white papers and resources
Risk Library offers a wide range of interest rate derivatives white paper, industry report and legal briefings which consider current issues, thinking and market conditions. An interest rate derivative is a derivative that gives an investor the right to buy or receive money at a certain interest rate in the future. Interest rate derivatives are used to circumvent the risk and uncertainty attached interest rates.
Next steps for MRM in South‑east Asia
Financial institutions across South‑east Asia face challenges assessing and measuring non-financial risks (NFRs) inherent in their business models, and are therefore concerned about regulatory scrutiny, transparency and the use of models within their businesses. SAS explores how financial…
What coronavirus and low rates mean for your ALM strategy
Only a couple of months into the year, we have been surprised by the coronavirus. How will the recent monetary policy actions and market reaction affect your FY2020 plan and beyond? In this report, MORS Software have called for an extraordinary meeting of their demo bank "IBSM-Bank's” ALCO to…
Analyzing the Market Impact of SOFR Discounting
This paper discusses the differences between OIS curves and SOFR curves, the impact of SOFR discounting on future cashflows, the dynamics of SOFR discounting risk, and the replacement of LIBOR with SOFR as the underlying of the derivatives market.
LIBOR Alternative Rates - The Transition and the Future of OTC Derivatives Pricing and Curve Construction
The development of new references rates alternative to LIBOR are expected to have direct consequences for derivatives contracts, particularly for those that do not mature until after 2021. This white paper discusses these issues and the preparations derivatives market participants should consider…
Packing the overnight bag: risk-free rates after Libor
This white paper explores the areas that will most likely be affected by the replacement of Libor with new benchmarks. It further proposes solutions on how to make the transition easier as well as more cost-efficient.
LIBOR: Its Astonishing Ride and How to Plan for Its End
This white paper provides an overview of LIBOR’s history, what’s motivating its disappearance, the implications for legacy contracts, and what is important when preparing for 2021.
The Acceleration of Emerging Market Swap Clearing
This white paper addresses the reasons driving voluntary clearing of emerging market swaps, including the counterparty, capital and operational efficiencies.
The IFF China Report 2016: Insight and opinion from China’s top leaders, policy-makers and financiers
This report, drafted by the International Finance Forum and published in association with Central Banking, provides readers with a unique insight into the inner workings of China's economic development and financial reform.
Managing a Matching Adjustment portfolio
This white paper focuses on the cash flow matching approach to portfolio management; how interest rate derivatives can be used within that process; and where the investment manager can add value for its insurance clients.
Negative Rates: The Challenge and the Opportunity
Negative interest rates have recently become a critically important issue in finance, as they impact some of the most basic calculations and procedures used by the financial community. Two prominent examples are the quotation of option volatilities and volatility smile interpolation models.