Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment has again refreshed the discussion on risk...

In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the importance of counterparty default risk...

The elephant in the room around CDS, CMBS, CMBX, and CDO pricing is the recovery rate. Practically, whilst recovery swaps exist they are not liquid. The problem is especially acute when upfront payments, or quoted prices, contradict previous recovery rate assumptions, e.g. pre-crisis, 40% for...