Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Statistics were invented to describe heterogeneity and are now applied to tackle alea. It may not be appropriate. Let's clarify their field of relevance.

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.

Description: Feature article describing how due to the recent financial crisis, fund trustees, plan sponsors, and administrators are reconsidering traditional asset-allocation strategies.

Description: Feature article describing how traditional pension asset allocations contain so much risk that the details of the “liability benchmark” have been largely ignored.

Description: The author provides an overview, from a banking perspective, of Value at Risk VAR and its use as a risk management tool. This article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: Feature article discussing hedging programs becoming a mainstay in the risk management arsenal of life insurers. It focuses on the significant stresses on variable annuity hedging programs.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: The author summarizes the content of a seminar entitled “Integrated Approaches to Risk Management in the Financial Services Industry,” including a description of the papers presented.