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6#
发表于 2013-4-22 10:56
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These risks (interest rate, contingent claim, and cap risks) are that the assets are insuffucient to fund the liability. So this could come from either side of the equation (Higher Liabilities OR Lower Assets).
For interest rate risk it could mean a mismatch of duration. If int rates go up risk is that duration of liabilities is lower than that of assets, or if int rates go down risk is that duration of liabilities is higher than that of assets. For contingent claim risk it could mean HOLDING callable bonds or MBS type securities; or ISSUING puttable bonds. And cap risk could mean holding a floater that is capped on the upside, or issuing a floater with a floor - right? |
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