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SARON hedging strategies

Hedging of SARON exposure, Part II

On 5 March 2021, the Financial Conduct Authority (FCA) announced the official dates of the cessation and loss of representativeness of the LIBOR rates. As a result, 31 December 2021 will be the last day on which the CHF LIBOR will be published. During the last months, a multitude of informative documents were provided by the Alternative Reference Rates Committee (ARRC) and the International Swaps and Derivatives Association (ISDA). As a follow-up from the previous article Hedging of SARON exposure, Part I: Explanatory power of SARON term and actual rates, this article assesses the different compounding methodologies with respect to hedging strategy.

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The relevance of the yield curve

Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial institution.

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The bank of the future

During the past 20 years, mobile services have changed so much in our lives – from ordering a taxi, eating out, or simply the way that we communicate with one another. Relatively speaking, banks have lagged behind this digital progress, but it seems like this is now changing.

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Are more complex models always better?

A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.

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A new standard in the Dutch mortgage market

During the past few years, the Dutch mortgage market has changed. Although their name suggests otherwise, fixed rate mortgages are nowadays anything but fixed.

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