Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands

Efficiently managing hedging portfolios on behalf of pension funds is key in achieving the target hedging strategy, which can significantly impact coverage ratios. A new optimization approach to fixed income portfolio management for pension funds is proposed that finds interest rate risk hedging strategies while incorporating additional...

Using futures in yield curve calibration

The yield curve represents market supply and demand implied expectations of future interest rates and is calibrated from the most liquidly traded interest rate derivatives like cash deposits, forward rate agreeents, swaps and futures. Due to the daily margining mechanism of futures contracts, interest rate futures require the substraction of a...