Auflistung LIF-SAFE Working Papers nach Schlagwort "interest rate risk"

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    • A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers 

      Berdin, Elia; Pancaro, Cosimo; Kok Sørensen, Christoffer (2016-11-01)
      In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company ...

    • The Anatomy of the Euro Area Interest Rate Swap Market 

      Fontana, Silvia Dalla; Holz auf der Heide, Marco; Pelizzon, Loriana; Scheicher, Martin (2019-06-01)
      "Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ...