Insights
2010
Jul 2010 1-year VaR assessment and dynamic management actions
Jul 2010 Thoughts on QIS5 Yield Curves
Jul 2010 Capturing the interest rate risk in MBS investments
Jun 2010 Liquidity Premiums and contingent liabilities
Apr 2010 Inflation Risk for P&C Insurers
Apr 2010 One year calibration and choice of equity model
Apr 2010 Retirement risk metrics for evaluating target date funds: a scenario modelling framework
Apr 2010 Quantifying and minimising the uncertainty in tail estimates
Apr 2010 A market consistent calibration for India?
Apr 2010 Chinese 50 year bond: how does it perform against extrapolated values?
Apr 2010 Making the most of a principle-based system
2009
Dec 2009 A Simple Proxy for Liquidity Premium
Sep 2009 Liquidity premium: myth or reality?
Sep 2009 CP39-42 the key implications
Sep 2009 Understanding the ESG Requirements for Solvency II
Sep 2009 Proposed Regulatory Changes by the Monetary Authority Singapore
Sep 2009 New requirements for principle-based statutory reserving for US Variable Annuity business
Jun 2009 A Framework for Communicating Value and Risk of Retirement Products
Jun 2009 Lessons for commodity investors
May 2009 Market-Consistent Valuation: Judging the Market
May 2009 Is there a case for a less severe equity stress test following 2008 returns?
Apr 2009 Inflation Modelling
Apr 2009 So is there really a case for the in-house ESG model?
Apr 2009 What just happened?! Some perspectives and their implications
Jan 2009 After the Storm: Market-consistent measures of cost and solvency in 2009
Jan 2009 The absence of equity diversification in times of stress
Jan 2009 Model Insights: Constructing a term structure of unconditional interest rate volatility
2008
Nov 2008 An analysis of the recent market volatility on Variable Annuity hedging programs
Oct 2008 Model Insights: Replicating Portfolios for Economic Capital?
Oct 2008 Model Insights: Market-consistent valuation of ultra long-term cash flows
Sep 2008 Model Insights: Bond - Equity Correlation
Aug 2008 Principles or Prescription?
Jul 2008 Capital to do what?
Jun 2008 A Clarification of Terminology
2007
Sep 2007 The Meaning of ‘Market Consistent’ - Part 1
Aug 2007 “Smart” Nested Simulation: Learning from Option Traders
Jul 2007 Where is that Elusive 1-Year Tail?
Jun 2007 Weighting Scenarios - A Discussion