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Links 1 through 10 of 5419 John Kiff's Bookmarks

%22Recent high levels of activity in the UK pension risk transfer market%2C featuring longevity swaps and longevity reinsurance transactions%2C are being driven by insurance companies drive to meet Solvency II requirements.%22

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%22Scientists say they have developed a way of testing how well%2C or badly%2C your body is ageing. They say it could help predict when a person will die%2C identify those at high-risk of dementia and could affect medicine%2C pensions and insurance.%22

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%22Until recently%2C there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap%2C the Bank of Canada%E2%80%99s Credit Rating Assessment Group %28CRAG%29 has developed a comprehensive database of sovereign defaults posted on the Bank of Canada%E2%80%99s website. Our database draws on previously published data sets compiled by various official and private sector sources. It combines elements of these%2C together with new information%2C to develop estimates of stocks of government obligations in default%2C including bonds and other marketable securities%2C bank loans%2C and official loans in default%2C valued in U.S. dollars%2C for the years 1975 to 2014 on both a country-by-country and a global basis. This update of CRAG%E2%80%99s database%2C and subsequent updates%2C will be useful to researchers analyzing the economic and financial effects of individual sovereign defaults and%2C importantly%2C the impact on global financial stability of episodes involving multiple sovereign defaults.%22

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%22The convergence market will play an important role in both risk transfer and risk mitigation for catastrophe exposures%2C with the result being an expected dampening of reinsurance price volatility and a flattening of the traditional market cycle%2C A.M. Best says.%22

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%22Yield-hungry investors are ready to endorse a revival of bonds backed by riskier US residential mortgages%2C as lenders warm to borrowers that do not meet strict standards introduced after the financial crisis.%22

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Companies often denigrate products sold by competitors%2C so it isn%E2%80%99t surprising that Alliance Bernstein is warning that the growth of so-called %E2%80%9Crisk parity%E2%80%9D strategies is akin to the growth of the dreaded %E2%80%9Cportfolio insurance%E2%80%9D in the 1980s %E2%80%94 and could similarly make %E2%80%9Cthe system more fragile%E2%80%9D. We%E2%80%99re sceptical. Ben Inker of GMO wrote up a more thoughtful critique a few years ago%2C although it also contains some important errors. More broadly%2C there is a common misconception that these investment products are uniquely vulnerable to rising interest rates%2C relative to more traditional portfolios. Our colleagues in the Markets section have a good overview.

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The concept allocates capital on a risk weighted basis to avoid the unintended skews and risks of traditional capital allocation techniques. It contributes true diversification by combining multiple liquid asset classes that offer risk premia and have low correlations to one another. Whilst there is a growing awareness of Risk Parity strategies and their potential as an essential part of a well-constructed portfolio%2C many investors are still unclear as to how the strategy works.

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%22The Brazilian pension fund market faces growing longevity risk and the regulator is calling for insurers to create products to address this%2C which will result in new opportunities for the longevity swap and reinsurance providers to tap into a new geographic region.%22

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%22Despite progress in implementing the G20 financial reform program for OTC derivatives%2C challenges remain%2C including trade reporting%2C central clearing and cross-border regulatory coordination%2C according to the Financial Stability Board%E2%80%99s recent report.%22

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%22Given a free choice%2C banks would probably book all of their trades in a global hub. But growing supervisory concerns%2C plus shifting rules around swaps clearing and execution%2C bank resolution%2C capital and liquidity are producing a more fragmented - and possibly less efficient - model%22

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