We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets,
primarily loans and securities. To this end, we use regulatory data on individual swap …

The London Interbank Offered Rate (LIBOR), the predominant family of global short-term
rate benchmarks for the past 40 years, ceased to exist in June 2023. Given the low volumes …

We use granular data sets–merged across the UK government bond, interest rate swap,
options and futures markets–to estimate exposures to interest rate risk at the sector level and …

We study interest rate risk sharing across the financial system using novel data on cross-
sector interest rate swap positions. We show that pension funds and insurers (PF&I) are …

Clearly delineating the key capabilities of organizational resilience for fisheries enterprises
holds significant practical implications, as it can mitigate financing risks and foster the …

We study the extent of interest rate risk sharing across the financial system using granular
positions and transactions data in interest rate swaps. We show that pension and insurance …

Robust Hedging of Terminal Wealth under Interest Rate Risk and Inflation Risk Page 1 1/34
Introduction Methodology Bond maturities Parameter uncertainty Conclusion References Robust …

We use granular datasets with observed trader identifiers–merged across the UK
government bond, interest rate swap, options and futures markets–to estimate exposures to …

Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts
around the world. We evaluate the quality of benchmark prices using a state-space model to …

We study the usage of interest rate swaps (IRS) by US public defined-benefit pension plans,
their role in interest rate risk management, and transparency to the public. We first describe …