Asset and Wealth Management
2011
Mar 2011 Real-world equity calibration: Update for stochastic volatility parameters
Mar 2011 Real-world equity calibration: Key equity volatility assumptions
Jan 2011 1-year real-world projection of equity implied volatility: Modelling and calibration methodology
2010
Nov 2010 Weekly and daily time-steps in the ESG
May 2010 Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009
2009
Oct 2009 Time Varying Term Premium - Targeting the Slope of the Unconditional Yield Curve
Feb 2009 Targeting Expected Interest Rates in E2FBK: Time Varying Deterministic Market Prices of Risk
2007
Sep 2007 130/30 Funds: The Optimal Investment Solution?
Aug 2007 Incorporating Modified Betas and Implied Volatilities in Child Equity Calibrations
Jul 2007 Variable Annuity Style Investment Products
2006
May 2006 The Barrie & Hibbert UK With-Profit Risk Survey
2005
Aug 2005 Developing Closed-Form Approximations for Realistic Liability Valuations
Apr 2005 Treating Customers Fairly - A Framework for Product Design and Targeting
Mar 2005 Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks
Jan 2005 Using Equity Options In Market-Consistent Calibration
2004
Nov 2004 Defined Benefit Pension Funds: A Finance Director’s Perspective
Aug 2004 Is There Predictive Value in Market Volatility Measures?
Jul 2004 Gilts or Swaps?
2003
May 2003 Beta Reliability
Mar 2003 Understanding the “Fairness” of FTSE Index Option Pricing
Mar 2003 Realistic Valuations and Shareholder Risks
Jan 2003 Risk-Based Capital and the Equity Risk Premium
2002
May 2002 Understanding Investment Policy Choices for Individual Pension Plans: An Update
2001
Mar 2001 Some Illustrative Pension Fund Contribution Calculations
2000
Jun 2000 Calibrating a Multivariate Model for Stock Specific and Portfolio Risk