Asset liability management
Asset and liability management: the nerve centre of modern banks
Regulatory and compliance mandates can be complex and challenging. Therefore, a multiple-view approach to ALM, regulations and finance within the organisation, is key
Incorporating climate risk into ALM frameworks for banks
Banks are coming under increasing regulatory pressure to incorporate climate risk into their risk management frameworks. An emerging focus is incorporating climate risk into the asset-liability management (ALM) function. This webinar explores this new…
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Leading the way in the risk management (r)evolution
Sponsored feature: Prometeia
Insurers must perform balancing act
Winners' Circle: RBS
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Impact study postponed for Basel rate-risk project
QIS was due to get under way last month but will now start in mid-2015
Basel rates split heralds soft landing, banks hope
First consultation paper on banking book interest rate exposure is expected in March
Banking book rate risk project splits in two
Regulators working on Pillar II guidance as well as fixed capital regime
Optimal trading under proportional transaction costs
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
US regional banks prepare for rising rates
With regulators watching closely, US banks are reining in the duration of bond portfolios
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
EC bank reforms would leave lenders unable to hedge
European proposal limits risk management tools to clearable swaps only, preventing options-based hedges
Irish variable annuity companies braced for new reporting requirements
Regulator introduces new risk monitor to scrutinise market risks and act as early-warning indicator
Insurers prepare for interest rate hikes
Rate of relief
Low yields force Asian insurers to reassess ALM strategies
With long-term bonds in short supply and falling interest rates putting pressure on earnings, Asian insurers are considering giving up on asset-liability matching in order to chase yield. Blake Evans-Pritchard reports