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Investment Actuary Symposium Modeling Credit Risks
Investment Actuary Symposium Modeling Credit Risks This article discusses techniques for modeling ... assumptions and recovery rates. Asset modeling;Asset valuation;Credit risk; 10939 2/1/2001 12:00:00 AM ...- Authors: Marc Altschull
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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The Impact of Stock Price Distributions on Selecting a Model to Value Share-Based Payments Under FASB Statement No. 123R
distribution is a key assumption to any share-based valuation model. Recent research indicates that commonly ... The SAB specifies three requirements for any valuation model used. The model should: • Be applied ...- Authors: Michael Burgess
- Date: Aug 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods
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Back Dating Options: How Big A Sin Was It?
historically high betas. Thus we will form option valuation vectors with the same fields: [underlying price ... respective stock, the mean reversion of those stocks’ individual volatility may not have occurred at the same ...- Authors: Cicero Limberea
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Fair value accounting; Modeling & Statistical Methods
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Canadian Dollar Time Series
from Bloomberg. The parameters are shown in the table on page 15. The mean reversion target, 125.16, ... turn to page 16 Table 1: Canadian Dollar Time Series Parameters This table shows the moderate ...- Authors: Joseph Koltisko
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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What Machine Learning Can Do for You
What Machine Learning Can Do for You While many know that machine learning is a big deal and even ... and opinions expressed herein are those of the individual authors and are not necessarily those of the ...- Authors: David Romoff
- Date: Feb 2022
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Data mining; Modeling & Statistical Methods>Forecasting; Modeling & Statistical Methods>Regression analysis; Predictive Analytics; Predictive Analytics>Modeling techniques
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Interest Rate Regimes - An Empirical Description
in A can be represented with each eigenvector. Table 1 and Figure 1 show the results of this analysis ... opposite adjust- ments to the state variables. In Table 1, they have been scaled so that the monthly change ...- Authors: Joseph Koltisko
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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2003 Stochastic Modeling Symposium
2003 Stochastic Modeling Symposium Announcement of an upcoming 2003 Stochastic Modeling Symposium. ... rate models • Building efficient scenarios • Valuation, pricing and other applications using stochastic ...- Authors: Martin Roy
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Beware stochastic model risk!
the mathematics of stochastic processes to the valuation of stock options. His work implied that one might ... been widely adopted by actuaries and others for valuation of all sorts of out-of- the money options and ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Econophysics: Making Money before Doomsday
Econophysics: Making Money before Doomsday This article, with some humor, describes a movement ... wits to antici- pate the basis of conventional valuation a few months hence…For it is, so to speak, a game ...- Authors: Shane Francis Whelan
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods