Insights
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1-year VaR assessment and dynamic management actions
15th July 2010
Craig Turnbull comments on the practicalities and some of the potential pitfalls of applying liquidity premium in valuations calculations
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Thoughts on QIS5 Yield Curves
15th July 2010
This Insight note provides an update and comment on the yield curves offered by the European Commission for the forthcoming Solvency II QIS5 study
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Capturing the interest rate risk in MBS investments
14th July 2010
This note discusses the challenges in modelling the characteristics and risks in an MBS versus simply modelling the scheduled cash flows.
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Liquidity Premiums and contingent liabilities
14th July 2010
This note explores how market-consistent liability valuation methodology can be adjusted to allow for liquidity premiums, and the implications this has for the behavious of the valuation of different types of liabilities.
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Making the most of a principle-based system
12th April 2010
This note discusses the principe-based approaches to risk and capital.
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Chinese 50 year bond: how does it perform against extrapolated values?
12th April 2010
In this note we look at how a recently-issued Chinese government 50-year issue traded relative to extrapolated values.
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A market consistent calibration for India?
12th April 2010
This Insight Note looks at the methodology of preparing market consistent valuations for India.
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Quantifying and minimising the uncertainty in tail estimates
12th April 2010
This note outlines the extreme value theory methodology
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Retirement risk metrics for evaluating target date funds: a scenario modelling framework
12th April 2010
In this note we present a stochastic modelling framework which can be used to evaluate the key risks in different Target Date funds.
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One year calibration and choice of equity model
12th April 2010
This note provides guidance on how to make the correct choice of equity model for Solvency II.