Crunching Credit - Best Practices in Modeling and Managing Credit Risk
Investments in instruments carrying credit risk have become increasingly important across a number of sectors, especially for insurance firms and pension funds. The move toward larger allocations to credit has been driven by a sustained period of low yields, supply shortages for long maturities and deteriorating credit outlook for government debt, making riskier assets appear more attractive on a relative basis.
Voicing a View - The Rise of Custom Calibrations in Economic Scenario Generators
Will interest rates fall or become negative in the next five years? What is the probability that the Eurozone breaks up in the next 12 months? What will be the value of the large cap equity index tomorrow? If we were to independently ask these questions to a number of investment and risk professionals we would likely receive a range of answers. Each would form an “Own View” based on past history, current information regarding the state of the economy and expert judgment.
Oil Prices - A Fluid Situation: Opportunities for Investors in the Energy Sector
The one constant in the history of global oil prices is change. The current price drop, while it lasts, will benefit energy consumers more than it will hurt energy producers, and lower energy spending will stimulate the economies of oil importing countries. So on balance, this will benefit the larger economies around the world, including the U.S., China, Japan, U.K. and Europe.
Municipal Duration and the Coming Change
Historically, tax-exempt municipal bonds have exhibited lower price volatility than similar maturity Treasury bonds. That is, a municipal and Treasury bond with the same maturity have similar durations or price sensitivity with respect to changes in their yield to maturity.
Meet the New Fed Boss, Same as the Old Boss?
The effective date for IFRS 9 is January 1, 2018; however, early adoption is permitted. (If a company elects early adoption, it must elect all aspects of IFRS 9 not just the impairment portion.)
Conning Releases Latest Semi-Annual State of the States Municipal Credit Report and Rankings (Q4, 2014)
(Q4, 2014), insurance asset manager Conning sees improvement in aggregate state credit quality due to economic growth bolstering state revenues which has led to increases in fund balances for most states. While strong employment growth, higher consumer confidence, and improved housing prices are driving up revenue, the improvement is not uniform across all states.
Tax advantaged securities for health insurance companies
Tax-exempt municipal securities play an important role in the investment portfolios for non-life companies, including health companies. The benefit of investing in tax-exempt municipal securities depends on a company’s tax status.
Emerging Markets: Update on Latin America
Latin America has been a rising star for some time. Over the past decade, most of the region has grown GDP per capita as well as had rating upgrades. Countries such as Brazil, Chile, Colombia and Mexico implemented robust reforms and saw their institutions and banking systems improve, while deepening their markets.
Emerging Markets: Asia Update
It has been an eventful start to the year for the emerging Asia equity markets, as there were various challenges to the economic performance of the region. The U.S. Fed began its “tapering” program and yet again raised concerns about countries with a current account deficit.
Emerging Markets: Watching for Signals
The world has changed considerably since our last overview publication on Emerging Markets (EM) in May 2012. Globally, investors have been contending with the end of the quantitative easing (QE) and rising interest rates, political instability, slowing growth in China, declining commodity prices and a narrowing growth differential between EM and Developed Markets (DM).