Capital Measurement
2011
Jun 2011 Multi Factor Affine Interest Rate Model Implementation & Analytic Results
Jan 2011 1-year real-world projection of equity implied volatility: Modelling and calibration methodology
2010
Nov 2010 Augmenting ESG Output with Additional Risk
Oct 2010 LMMPlus: Dynamics and Numerical Implementation
Oct 2010 Stochastic Volatility and Riccati Equation
May 2010 Calibrating the credit model: targeting the spread distribution
May 2010 Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009
May 2010 Real-world municipal bond calibration - Municipal bond modelling and target setting
2009
Dec 2009 Displaced Diffusion LMM - Addressing Lognormal Blowup
Nov 2009 End September 2009 Market Consistent Correlation Validation
May 2009 Techniques for market-consistent valuation of contingent claims
May 2009 Libor Market Model: Market Consistent Calibration Methodology
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
Jan 2009 Constructing a yield curve for economies introduced at end December 2008 calibration
2007
Sep 2007 Annuity Business: Shareholder Returns and Profitability
Sep 2007 Projecting the Solvency Capital Requirements for Annuities
Jul 2007 Variable Annuity Style Investment Products
Mar 2007 Annuity Risk Management: Mortality ICA Analysis
Feb 2007 Annuity Risk Management. One-year VaR Decomposition: A case study
Jan 2007 Market Monitor January 2007
2006
Nov 2006 Credit Risk and Annuity ICAs: A Comparison of Alternative Approaches
Jul 2006 Market Risk Capital Definitions and Market Risk: Capital to do what?
Jun 2006 Mortality Risk Capital for Different Annuity Types: Quantifying the Relative Impact of Longevity Unc
Jun 2006 Least Squares Monte Carlo: Application to Nested Simulation
Jan 2006 Standard Errors in Run-Off RBC Calculations
2005
Aug 2005 Developing Closed-Form Approximations for Realistic Liability Valuations
Aug 2005 Life Assurers, Market Risk and Internal Stochastic Models
Apr 2005 Allowing for Yield Curve Twist Risk in RBC and ICA Calculations
Mar 2005 Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks
Mar 2005 A Discussion of Alternative Approaches to Calculating the ICA
Jan 2005 Using Equity Options In Market-Consistent Calibration
2004
Nov 2004 Defined Benefit Pension Funds: A Finance Director’s Perspective
Jul 2004 Gilts or Swaps?
Mar 2004 Selecting Stress Test Scenarios
2003
Mar 2003 Realistic Valuations and Shareholder Risks
Jan 2003 Calculating Deflators
Jan 2003 Risk-Based Capital and the Equity Risk Premium
2002
Sep 2002 Risk Capital and Economic Value for Insurers
Mar 2002 Assessing Risk-Based Capital Requirements: VaR and run-off approaches
Mar 2002 Risk-neutral methods or deflators?
2001
Mar 2001 Some Illustrative Pension Fund Contribution Calculations