HiMonoline insurers booked profits during the financial crisis on their liabilities.Does anyone know what the accounting treatment for this was?Thank you

Hi. I am using a beta approach to hedge. Do you know of any literature that discusses the time horizon beta should be used for (ie if I use a 60 day period to estimate my beta. What is the best time horizon to predict? Also 60 days? Thanks in advance

<t>nayakchandan,Thank you.What I am wondering is how to get the MTM of the funding leg.Assuming I am funding an asset since 2005 and to 2015 under a TRS, receiving 25bp. Funding is more expensive now than in 2005.In order to assess the MTM I would be looking for the spread I would get entering into ...

<t>Hi.I am looking for a paper on the valuation of the funding leg of a TRS.Assuming I entered into a TRS on a 10m bond maturing in 2005 where I receive L+50bp. Both, maturity of the bond and TRS is 2015.If I want to enter into a TRS on the same 10m bond today (to 2015) market level would be 150bp.I...

thanks bearish.

<t>Hi.I recently came across a library where the survival probability changed when the zero interest rate curve was shifted (25bp in 10y zero rate resulted in 0.2bp shift in 10y survival probability).Does the calculation of a survival probability involve the rates curve? (are there any approaches wh...

thanks, that works.much appreciated daveangel

UK utility bonds are often quoted through a spread over a reference gilt.The known parameters are the UK gilt price, UK gilt and UK utility bond cash flows.How is the gilt spread used to get the price of the UK utility bond?thanks