Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk … introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …

Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk … introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …

Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk … introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and …

risks posed by individual banks but also, importantly, those posed by nonbanks and the system as a whole. The recent …