Abstract
Financial intermediaries often provide guarantees that resemble
out-of-the-money put options, exposing them to tail risk. Using the
U.S. life insurance industry as a laboratory, we present a model in
which variable ann...
Executive summary
The ECB’s second public consultation on developing a euro
unsecured overnight interest rate closed on Friday, 20 April 2018.
The consultation drew considerable interest from the financial
sector. 48 market par...