Asset-liability management with ultra-low interest rates

Edited by Ernest Gnan and Christian Beer
ISBN: 978-3-902 109-77-4

A joint publication with the Austrian Society for Bank Research (BWG) and the Oesterreichische Nationalbank

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors’ contributions to the Vienna conference.

Introduction
Christian Beer and Ernest Gnan

Interest rate cycles and implications for the financial sector: A long-term view
Richard S. Grossman

Banking with ultra-low interest rates – Conceptual and related issues
Philip Molyneux

Are unconventional monetary policies bad for banks?
Frederic Lambert

The perspective of a Swiss bank – An illustrative example
Claude Moser, Colt Spenser Lake, Bruce McLean Forrest, Silke Waterstraat, Dylan Wilson

The effects of a low interest rate environment on life insurers
Elia Berdin, Helmut Gründl

Current issues in central bank reserves management
John Nugée

Asset liability management and interest rate risk in Solvency II – An empirical study
Martin Wirth, Wolfgang Herold

Additional info
Keywords: Asset-liability management, asset price booms, asset quality reviews, bank balance sheet structure, bank business models, bank profitability, bank risk management, bond market liquidity, bond yields, bubbles, capital requirements, central bank reserves, defined-benefit pension schemes, duration mismatch, equity-bond portfolios, expected real return, financial market volatility, financial stability, funding costs, history of financial crises, insolvency risk, interest rate cycles, interest rate margin, interest rate policy, interest rate risk, investment strategies, leaning against the wind, liquidity coverage ratios, liquidity risk, low yield environment, market risk, maturity mismatch, negative interest rates, pension fund portfolio management, quantitative easing, real estate bubbles, risk diversification, search for yield, solvency, stress tests, supervision of risk management, term structure of interest rates, unconventional monetary policy, value-at-risk models, value investment strategies, wealth preservation, yield curves, zero interest rate.

JEL-codes: E43, E44, E52, E58, G11, G12, G18, G21, G22, G23, G28

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Study 2015/2