Risk & Capital Management
2010
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
Feb 2009 Targeting Expected Interest Rates in E2FBK: Time Varying Deterministic Market Prices of Risk
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - USD End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - EUR End December 2008
Jan 2009 Constructing a yield curve for economies introduced at end December 2008 calibration
2008
Jun 2008 A Clarification of Terminology
2007
Oct 2007 Annuity Business: Shareholder Returns and Profitability
2006
Sep 2006 Valuing and Hedging Complex LPI Liabilities
Jul 2006 Annuity Pricing Risk from a Funding Perspective: Quantifying the Impact of Longevity Uncertainty
Jun 2006 The Barrie & Hibbert UK With-Profit Risk Survey
Feb 2006 Pan-European Property Calibration Notes
2005
Sep 2005 Managing Duration Risk in Continental European With-Profits
Apr 2005 Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks
Jan 2005 Managing Long-Term Equity Option-Implied Volatility Risk
2004
Nov 2004 Defined Benefit Pension Funds: A Finance Director’s Perspective
2003
Sep 2003 Minimising the CP195 Risk Capital Margin
2001
Mar 2001 Some Illustrative Pension Fund Contribution Calculations
1999
Mar 1999 GAO Breakeven Interest Rate
Mar 1999 Notes on the Aggregation of With-Profits Policy Data