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Derivatives and Collateral at U.S. Life Insurers
Although insurers represent a relatively small part of the derivatives markets, they are an interesting case study, in part because they report very detailed information about their derivatives positions and associated collateral in quarterly regulatory filings. The authors exploit these data to study how derivatives are used by insurers and analyze the likely impact of regulatory reforms on their business models.
AUTHORS: Berends, Kyal; King, Thomas B.
The sensitivity of life insurance firms to interest rate changes
The authors examine the interest rate risk of life insurers by estimating the sensitivity of their stock returns to changes in the return on bonds over a time frame that includes a relatively calm period before the recent financial crisis, the financial crisis itself, and the recent period of low interest rates. They find that when bonds increase in value (that is, when interest rates fall), stocks of large insurance firms decrease in value more than those of their smaller counterparts.
AUTHORS: Berends, Kyal; McMenamin, Robert; Plestis, Thanases; Rosen, Richard J.
Understanding the relationship between life insurers and the Federal Home Loan Banks
This article describes the growing relationship between life insurance companies and the Federal Home Loan Banking (FHLB) system. Given the important role that both play in the U.S. financial system, it is important to understand how they are connected.
AUTHORS: Paulson, Anna L.; Rosen, Richard J.; Berends, Kyal