Description: a review of mergers and acquisition activity during the first half of 2004

Description: The mismatch between how interest rate impacts the value of assets and liabilities could have material negative impact to companies’ earnings and surplus. To quantify and mitigate the impact of such mismatches, companies have used matching a combination of duration and convexity. I will review these measurement techniques and their limitations.

Description: After a very challenging year, actuaries need to look back and consider the lessons learned. Have we returned to where we were, or have we moved on to a new norm? What does the COVID-19 pandemic market data tell us that will help us to prepare for future global crises?

Description: Description of the mathematics involved when looking at low probability events within a company from the perspective of the C-Suite. The accumulation of small probability events leads to a much higher probability of at least one of them happening in a given period.

Description: Maintaining solid financial performance is a KPI for senior management. With the advancement of technology, the management can leverage new techniques to improve their decision making and focus on higher value activities in a timely manner. This presentation sets out the use of 1. correlation analysis to draw relationship between financial metrics and 2. smart analytics techniques, including text mining and analytics, to identify trends and drivers that impact the valuation of a company. We will also assess how the results of a comprehensive financial analysis could influence risk management considerations, including business steering and risk strategy.

Description: This is the second part of a 2 part series on Real options analysis (ROA). This article looks into the limitations of using financial option theory when doing real options analysis with projects that are long-dated and uncertain, such as: 1. First-degree homogeneity, 2. Uncertainty must derive from Brownian motion, and 3. Risk neutrality.

Description: For most of the last forty years, corporate defined benefit pension plan assets have been managed to balance risk versus reward in more or less the same way that a risk averse individual would do with his own portfolio. Recently liability cognizant strategies have been developed, but these also attempt to balance risks and rewards. But pension plans are not individuals; they, much like their widely-held corporate sponsors, are pass-through institutions. The economics of such entities are found in the corporate finance literature rather than in the literature of portfolio choice. The corporate finance (and thus the pension finance) objective is economic value added rather than return for risk. Enterprise risk management is a corporate finance activity too and its goal should also be value added rather than return for risk. The intersection of enterprise risk management and pension finance leads to a value-based discipline with two startling results: • Widely-held corporations can increase shareholder value by hedging away their own systematic risk (e.g., CAPM β). • Very many corporate defined benefit pension plans should define their liabilities and manage their assets to develop a net short equity exposure (negative β).

Description: This article is part of a 2 part series on real options analysis (ROA). Before you can understand the limitations of ROA, you must first understand the difference between risk and uncertainty. This article goes into detail explaining the vast differences between the two phenomena.

Description: This study aimed to study primarily the impact of market performance on a pension plan’s ability to meet its obligations.

Description: This study presents a new framework which can measure integrated marked risk and credit risk for portfolios consisting of various assets through continuous time horizons. In a simulation, the study shows that asset type, initial rating, time horizon and asset return distribution assumptions are all significant factors to influence the portfolio value distributions and hence the integrated VaRs. From 2007 Enterprise Risk Management Symposium, M-AS07-1.