Liability Modelling: Achieving optimal synergy
17/05/202060 Years Tax: New solutions to existing problems
17/05/2020
IR Management: Interest Rate Risk Management & Hedging
Consulting
SITUATION
Insurance companies need to measure, monitor and manage their interest rate risk exposure if they want to avoid unexpected losses due to shifts in interest rates.
SOLUTIONS
Other measures like the Key rate durations or PCA durations, have been developed and successfully applied in practice. They better measure/tackle the Interest rate risks due to non-parallel shifts of the term structure.